There are approximately 5,500 known species of mammal. We can't possibly have studied all of them in detail, and many are known only from the barest of information. A lot of these obscure species are small mammals - bats, shrews, mice, and so on. That's not least because the differences between all the different species of mice, for example, are probably pretty subtle. With something like 40% of mammal species being rodents, and a further 20% being bats, that's not really surprising.
But even when we look at the larger, more charismatic, species there are plenty of holes in our knowledge. This is most likely to be the case where an animal doesn't live in Europe, North America, or Australia, and isn't quite as high in the fame stakes as, say, chimpanzees, elephants, or tigers. Living somewhere it's inherently difficult to get to, like a tropical forest, is also a factor, as is living at sea if you're not valuable to whalers or the like.
Which leaves plenty of opportunity for modern zoologists to do the sort of thing that naturalists used to do in days gone by, and make some pretty basic studies of a particular animal's behaviour while still breaking new ground. Assuming of course, you can go to wherever the animal is and spend a long time there. Which, if it were that easy, would probably have already been done.
The
masked palm civet (
Paguma larvata) is one such animal. They're not entirely obscure, living in forests from southern China down to Indonesia, and having first been identified as a species back in 1827. They're something like 60 cm (2 feet) long, plus tail, and, in the grand scheme of things, they aren't particularly rare or endangered. Certainly we know a lot about what they look like, where they live, what they eat when they're in captivity, and so on. But actual studies of their wild behaviour, while hardly non-existent, are fairly limited, and typically only of a small number of individuals.