When I was very young, I used to listen to CBC radio's national science program, Quirks and Quarks with my father. Now it has a regular slot in my podcast playlist. They recently ran an extended segment on Conspiracy Theories.
While nobody's perfect, as a magician I believe that whenever you find people vehemently believing something which isn't true (which is the natural occurrence at the end of a great magic trick) then there's something to be learned.
This is an interview with. You can listen or read the transcript at the CBC website.
Of course we are trained, pretty much from birth, to look for causes for everything we see in the world around us. One small cognitive glitch that occurs is a little rule of cause and effect which is often, but not always, true. Small causes give small effects and big causes give big effects. As an intuition, it's useful, but not infallible. But it seems true for almost everyone that the idea that some small causes could built up gradually, or be amplified by some kind of lever, doesn't sit well with us.
So when you see something like 9/11, the idea that an entire country's political policy and travel security could be upended in one morning by nineteen people feels wrong. The idea that every single person flying would have to take off their shoes at airport security, possibly for decades, because of one guy feels out of proportion. There must be something more there.
Of course conspiracies are the kryptonite of logic and reason. You can't kill a conspiracy theory with evidence, because any evidence against the conspiracy instantly and effortlessly becomes evidence for the coverup.