Most conspiracy theories just make me smile. They're facinating to me, not usually for their substance (usually revolve around shadowy governments, Jews, Aliens or big business, whatever boogey-man floats the boat of the audience) but for the psychology behind them.
There are fascinating forces at work, really. Let's face it, even if you believe in conspiracy theories, in the end there is only one history and one thing that actually happened. So just by default, even if every major event in history was the result of a conspiracy of some kind, the vast majority of conspiracy theories are still wrong, because only one thing could have happened.
But most people who believe in conspiracy theories do just that, believe. It's very unwise to actually engage them, because it is almost a religious ideal, usually not even rooted in fact, but feelings and faith. And you can't argue someone's religion and win. At best, you walk away a draw and agree to disagree, at worst people freak out and the insults start flying on all sides.
Personally, I'm not much of a fan of them in general. The world, from my experience, isn't a well ordered machine. It can terrible, and random, and that is discomforting.
To some, all controlling hands of unseen shadowy figures that control world events, to others it's God in heaven guiding the world. Others, it's aliens who planted us here.
People want to believe in something. Something interesting. Just two weeks after the Kennedy Assassination, the majority of Americans, even though a full investigation hadn't been done, thought there was a conspiracy. Mrs Kennedy and Governor Connelly even in the car after the shots rang out were screaming about how the anonymous "they" who were attacking them. People want to believe, and even assume, that greater forces are always at work. It's the way we are.