Jung's theory is not so mystical
as people seem to take is as or, rather, it is just as mystical
but -- well -- the mysticism is not so supernatural.
Jung came up with the idea of the collective unconscious by studying dreams. Dreams are an obvious piece of evidence supporting the existance of a personal unconscious. The definition of the personal unconscious is simple: It is everything that exists in the mind that is not, well, conscious. Everything that you're not thinking about RIGHT NOW is unconscious because, RIGHT NOW, the only things in your conscious, you're already conscious of. If you can recall things, if you can pull things into Consciousness that were not there a moment ago, logic states that that thing must have previously still been in your mind, but not in your conscious mind. That's all that the unconscious really is. A lot of things in your unconscious can be fairly easily brought into consciousness. Others are blocked out, can't be easily brought into consciousness. Blocked memories, for example.
Jung believed that dreams were an expression of the unconscious that the conscious mind could take away, that in the dream state the consciousness was submerged and could see some of the things going on in the unconscious. What's more, he believed that this unconscious was just as active as the conscious mind, that there was a whole dynamic life going on under the percieved mind, like fish teeming under the ocean -- just barely visible.
NOW, Jung believed that by and large the unconscious was made up of memories, mostly from early childhood, that weren't currently active -- sometimes buried really very deep in the mind. This accounted for most of the dreams he saw his patients having. He had one particular patient who had an extremely complex recurring dream, and was also having various physical symptoms. Jung managed to trace through the dream memories of the events that were causing the man's physical symptoms.
The only problem was, not ALL of the patient's symptoms went away; he still had a persistant pain in his heel. What's more, the dream hadn't quite gone away.
Now recall: Jung believed that the unconscious was a true consciousness with only occasional connections to the conscious. He drew from this that it would stand to reason that there was a deeper level, that the unconscious itself had an unconscious, that it did not have a full grasp of the totality of the mind, and that there was a layer still deeper that fed occasional symbols up to it. Thus, he beleived that the Unconscious, place of dreams, had dreams itself. Jung traced IN THIS MAN's DREAM, a deeper dream, one of a snake biting this man's heel. He noted that the heel was a traditional place of weakness, e.g. Achilles, and that snakes were often symbols of seasonal change, and managed to work out the rest of the man's problems, making the symptoms go away. I suggest reading the firsthand account but suffice it to say, this is what Jung thinks of the collective unconscious.
To Jung the collective unconscious is the evolved, biological structure of the mind and, thus, common to all people. Yes, it is deeper and removed from the Personal unconscious and, because it contains the same images, it provides a connection of sorts between people. What most people don't seem to get, however, is that this collective well is READ ONLY. You CANNOT communicate with others mystically through it because it is not TRULY shared.
The collective unconscious is incredibly important because many, Joseph Campbell foremost among them, believe that all mythic images come from this place in the mind, and this explains the similarities in myths. It is mystical because mysticism comes from this place. But it does NOT provide a conduit for psychic communication. Jung, while having a certain belief in the supernatural and synchronicity etc, was fairly heavily against the reality of most spiritualistic phenomena -- believing them to have explicable scientific origins.