I started by the players all making characters for the setting. Rather than start from a complete surprise about the paranormal, I opted to dive right in. This was essentially the introduction I gave them all.
You are all members of the Hoffman Institute - publically, a not-for-profit privately funded think tank with a focus on public policy (foreign and domestic), technology, and history. (Something like the Rand Corporation, McKinsey, or Deloitte). Privately however, it spends much of its energy and resources on research of the supernatural, paranormal, extraterrestrial. You are all members of the Hoffman Institute because of your past experience with, or belief in it; governments and corporations have their own interests at hand, and can't be trusted - and have shown signs of actively acting against the interests of the people they are supposed to serve.
Dark matter and dark energy are the hypothetic stuff that make up more than 95% of the total mass-energy in the universe. It is responsible for the acceleration of the expansion of the known universe, and has been around since the Big Bang. Unable to be directly observed or measured, it is not even know what physical properties it has - even as it permeates the known universe. But as the levels of dark matter crest and fall, it interacts with the very fabric of the laws of reality.
Much of the investigations and research that Hoffman pursues is nothing more paranormal than the coincidental intersections of low-quality video, skilled street performers, manipulative sadistic sociopaths, the willingly delusional, or many of the above. Occasionally however...
Character generation is easy in this system. The main thing to do first is to think of a character concept. For inspiration, think of a gritty cross between X-Files, Grimm, Marvel Agents of Shield (Season 1 especially), Bourne, Mission Impossible, James Bond, Homeland. Main restrictions are 1) Only human race, and 2) No Arcane Background (ie. supernatural abilities). So far, the PCs are:
1) Markov (Ari): Former FSB field agent. On a mission, witnessed the apparent wreckage of an alien UFO. He was subsequently sideways transferred multiple times until he was pushed out and then recruited by the Hoffman Institute.
2) Isaac "Maverick" Lee (David): Graduate student in history that became convinced of the existence of centuries-old non-governmental entities that manipulated world events and stayed in the shadows. Turns out some of those conspiracy theories aren't just wacko ideas. The Institute brought him onboard to put his investigative and analytical skills to work.
3) Lester (AJ): Brought in by Hoffman to create a new identity. He is wanted for felony murder after killing a cashier at a Dunkin Donuts... then saw him alive and well the next day - a man that Hoffman was also investigating.
4) Angus "Pug" McGillicuty (Thor): Crossed paths with the Hoffman Institute when he began searching for his mother. She was a Wiccan priest, and he grew up with her going to various Ren Faires and such; upon returning from an Army deployment, all trace of her was gone when her bed and breakfast was burned to the ground; the Institute was looking for her help when it found rumors of the return of witch-burnings.
5) William “Bill” Thulson (Lawrence): Orphaned at a young age when his house exploded while his parents were inside. A Hoffman agent looking into the mysterious circumstances after the police closed the case as a gas line eruption took pity on the boy and brought him into the care of the Institute. He has since trained to be an agent.