Keeping the audience curious/interested is all in the script. It is up to the director to convey this to the audience; that's his/her job, to shoot & edit the story so that the audience desires to know what comes next.
Alfred Hitchcock was one of the best at letting the audience know things that the characters did not. Definitely worth some study. If you haven't already you should watch "The Sixth Sense." Even when Cole tells Malcolm his secret we, the audience, still do not see the twist at the end.
Just for fun check out the Disney kids show "Phineas and Ferb." The big joke of the entire show is that every episode is almost exactly the same, all the way down to the dialog - "Ferb, I know what we're going to do today." "Aren't you kids a bit young to be…." "Yes, yes we are." "Watcha dooooin'?" "Hey, where's Perry?"