I think that conspiracy theory has a large amount of appeal to people because we love having "eureka" moments where things suddenly make simple, perfect sense. We love to think that we're privy to information that the general public is too "stupid" or "complacent" to figure out for themselves; like we're too smart to have the wool pulled over our eyes.

Sometimes they're extremely believable (War on Drugs/Marijuana as a racket to increase prison industry revenues, 9/11 as a pretext for war in the Middle East), and sometimes they're just absurd (The US faked the moon landing to beat the USSR in the Space Race, the world is run by Lizard People that are hellbent on global domination).

While some are more believable than others, it largely comes down to the purveyor of said theories to connect dots that may-or-may-not actually connect in order to make their case. Whether it's something you actually believe in, or whether you just want a good, pulpy read, a conspiracy theory that is well strung together can bring about the "eureka" moment that people crave, even if they know it's a total yarn. We live for entertainment, and connecting the dots (or, rather, having them connected for us) is one of the most fun ways of entertaining ourselves.