How to use "for some reason" in a sentence?

Some examples (right or wrong, I do not know)

• He went to the store--for some reason.
• He went to the store, for some reason.
• For some reason, she went to the store.

A grammatical explanation as to what exactly "for what reason" is would be great too.

I would use either

For some reason, he went to the store.

or

He went to the store, for some reason.

"For some reason" means that the speaker is unsure why the action has occurred.

It is advisable to use a comma here because otherwise its meaning could be ambiguous; you might think he went to the store precisely to find some kind of reason.

"for some reason" is a prepositional phrase.