Here is an article (via MindHacks) profiling the types of people who are attracted to conspiracy theories.
It is the domain of psychology to study the specific conspiracy theories that appear and the people who advocate them, but to a game theorist the prevalence of conspiracy theories is not surprising. They fill a credibility gap. Like nature, the truth abhors a vacuum. It cannot be an equilibrium that only the truth is told and retold. Because then we would learn to believe everything we hear. That would be exploited by people trying to take advantage.
Conspiracy theories are just one example of noise that must be present in equilibrium to ensure that we don’t believe everything we hear. And arguably conspiracy theories about events that have already happened or are beyond our control are the cost-minimizing way of moderating credibility. Nobody really gets harmed.

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May 27, 2009 at 8:25 pm
Patricia Shannon
It is not always true that nobody gets harmed. Some African-Americans refuse needed medical treatment because of fears of being used for experimental purposes against their knowledge. There is, in fact, a basis for this in American history, the Tuskegee Syphilis Study. I remember when it became public. Shocking, horrifying that my own country did this.
http://www.npr.org/programs/morning/features/2002/jul/tuskegee/
July 25, 2002 –Thirty years ago today, the Washington Evening Star newspaper ran this headline on its front page: “Syphilis Patients Died Untreated.” With those words, one of America’s most notorious medical studies, the Tuskegee Syphilis Study, became public.
“For 40 years, the U.S. Public Health Service has conducted a study in which human guinea pigs, not given proper treatment, have died of syphilis and its side effects,” Associated Press reporter Jean Heller wrote on July 25, 1972. “The study was conducted to determine from autopsies what the disease does to the human body.”