It's important for a hero to have an origin story. You know, like if your parents were killed by an ancient Norse radioactive spider with an admantium proboscis, and you swore "By Great Hera's Ghost! I'll strive to ensure that this fate ne'er befalls another," dedicating your life to:
A) fighting crime
B) protecting Earth from alien threats
C) making sure that neither God nor the Devil win their long-standing bet
D) protecting the seas from pollution and arrogant land-dwellers
E) madcap tomfoolery
Some of these origin stories are foundational, iconic, and must never be tampered with: Kal-El slumbering in his little space-boat, Bruce Wayne crying in the alleyway, or Peter Parker slapping at his forearm. Others get over-hauled every few years. And there are some heroes whose appeal comes partly from their mysteriousness - pinning down the details of their origin strips them of a great deal of their power. It's important that Wolverine never find out exactly what was going with the Weapon X project, or where he was born. Hey, with his healing power, he could be thousands of years old! Finding out that he was originally a 19th century farmhand, or maybe a caveman, is anticlimatic and really, really lame. We can always imagine something better than that. We need some blank spaces on our maps.
I think my favorite biblical example is that mysterious man Melchizedek. A priest and a king, he shows up out of the blue to bestow God's blessing on the victorious Abram, giving him bread and wine. After that he quickly and quietly vanishes away. Nobody's really sure where he comes from, or where he goes: no origin, and no death. Thus in the Psalms he becomes immortal: "Thou art a priest for ever after the manner of Melchizedek." And in the Christian tradition he is held up as a type, or symbol, of Jesus Christ: "Without father, without mother, without descent, having neither beginning of days, nor end of life; but made like unto the Son of God; abideth a priest continually." Scholars, of course, can give you all sorts of textual and historical explanations for him, but they're not very interesting from a literary point of view (and are remarkably reminiscent of the nitpickings of serious comic book geeks). Melchizedek's mysteriousness leads to his becoming a name to conjure with in assorted apocryphal works (or as I like to call them, 'fanfic'), a powerful character in Judaism, Christianity, Gnosticism, and Mormonism, not to mention Hermetic magic and modern bank fraud schemes.
Of course, Melchizedek's power is not just bound up in his origin, but in his deathlessness. As in comics and soap operas, if you don't see a body, you know they're not dead. If you do see a body, they might be dead, but don't count on it. So he's still on the loose, having escaped the bonds of space and time, like Elijah or Christ himself, evading capture and moving undetected behind enemy lines. In fact... is that him standing right behind you?!?