A friend of mine runs a Halloween adventure every year. Each is always a one-evening event. My friend always draws up and hands out characters and shoots us a little back-story by email before we arrive.
A couple of years ago he did one set in lonely country manor surrounded by moors, heath, bogs, and the essential ubiquitous ground-fog. (He actually set it in northern Victorian England, so we got to whip out our goofiest English, Scottish, and Irish accents, but a typical D&D setting would work just as well.) One of us had just inherited the manor from a little-known grand-uncle. The solicitor who advised us of the death and inheritance provided some papers, among which was a cryptic note suggested there was an enormous amount of treasure carefully hidden in the manor.
The DM then plopped our characters down in the manor’s music room simply saying, "You all arrived late last night, unlocked the great doors with the keys you'd been given, found bedrooms, went to sleep, and now its morning and you're in the grand music room deciding what to do next."
A house search uncovered all kinds of oddities suggesting the dead grand-uncle had been an adventurer involved in all kinds of unsavory events. Most unusual was that we frequently found that the most interesting treasures and objects were intermittently intangible. We concluded they were ghostly objects and kept waiting to be surprised by the ghost of the grand-uncle, or his staff, or someone he might have he murdered, etc. We even found some walls we could pass right through. We decided the ghost had to have been deeply attached to the manor to have so many ghostly items and even ghostly fixtures!
Finally, a journal hidden in a study (whose pages we could sometimes but not always turn) revealed that the grand-uncle was a necromancer who had been planning a ritual tonight in a secret chamber in the cellar under one of the estate's building. The ritual was to prolong the lives of the seven participants by feasting upon the souls of seven freshly-slain victims.
There were seven of us playing this adventure.
Then it all started falling into place. We asked the DM if we were hungry after so much searching. The DM said no. We asked if any of us remembered getting out of bed this morning, dressing, and coming down to the music room. The DM said no. We searched our bedrooms. Most had been recently and spotlessly cleaned, and all the sheets and blankets had been removed. But one bedroom had a lot of broken furniture and traces of fresh blood along the baseboard. We all congratulated the PC whose room showed signs of violence. “Looks like you put up quite the fight, laddie! Good show there!” We knew. The grand-uncle wasn't dead.
WE WERE DEAD.
We were murdered in bed the night before. Our bodies had been taken out in the sheets, and the rooms cleaned, before we arose as ghosts. The bodies were already underground somewhere, being prepared for the ritual. We were atypical ghosts in that we could move the manor's objects if we weren't focusing on them, but whenever we TRIED to manipulate a material object, we had to succeed on a Wisdom check with a high DC. We tried fleeing only to discover we couldn't pass the estate's boundaries.
It ended with a fabulous battle with the necromancer and his cultists in the cellar of the tool shed. We kept trying to pick up gardening implements to whack the bad guys, and kept failing. We nonetheless ultimately killed the necromancer with a rusty pair of hedge clippers. Grand-uncle promptly became a ghost like us -- so we destroyed him again. Fun! His followers fled, and our souls passed on to whatever glories lie beyond, satisfied with our last, big adventure.
Okay, probably too grisly for a bunch of 11-year olds, but I offer it for ideas. If being dead is too gruesome, perhaps you have them all dreaming the same dream or something.