Why do some mathematics lessons captivate high school students and others not? This study explores this question by comparing how the content unfolds in the lessons that students rated highest with respect to their aesthetic affordances (e.g., using terms like "intriguing," "surprising") with those the same students rated lowest with respect to their aesthetic affordances (e.g., "just ok," "dull"). Using a framework that interprets the unfolding content across a lesson as a "mathematical story," we examine how some lessons can provoke curiosity or enable surprise. We identify eight characteristics that distinguish captivating lessons and show how some, such as the average number of questions under consideration at any point in the lesson, are strongly related to student aesthetic experiences. In addition, the lessons that students described as more interesting included more instances of misdirection, such as when students' false assumptions provide opportunities for surprising results. These findings point to the characteristics of future lesson designs that could enable more students to experience curiosity and wonder in secondary mathematics classrooms.