Puzzles often give birth to the great discoveries, the false discoveries sometimes stimulate the exiting ideas in theoretical physics. The historical examples of both are described in Introduction and in section ``Cosmological Puzzles. From existing puzzles most attention is given to Ultra High Energy Cosmic Ray (UHECR) puzzle and to cosmological constant problem. The 40-years old UHECR problem consisted in absence of the sharp steepening in spectrum of extragalactic cosmic rays caused by interaction with CMB radiation. This steepening is known as Greisen-Zatsepin-Kuzmin (GZK) cutoff. It is demonstrated here that the features of interaction of cosmic ray protons with CMB are seen now in the spectrum in the form of the dip and beginning of the GZK cutoff. The most serious cosmological problem is caused by large vacuum energy of the known elementary-particle fields which exceeds at least by 45 orders of magnitude the cosmological vacuum energy. The various ideas put forward to solve this problem during last 40 years, have weaknesses and cannot be accepted as the final solution of this puzzle. The anthropic approach is discussed.
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