Bruce Schneier cites an intriguing New Scientist article on conspiracy theories and why people believe them:
So what kind of thought processes contribute to belief in conspiracy theories? A study I carried out in 2002 explored a way of thinking sometimes called “major event-major cause” reasoning. Essentially, people often assume that an event with substantial, significant or wide-ranging consequences is likely to have been caused by something substantial, significant or wide-ranging.I gave volunteers variations of a newspaper story describing an assassination attempt on a fictitious president. Those who were given the version where the president died were significantly more likely to attribute the event to a conspiracy than those who read the one where the president survived, even though all other aspects of the story were equivalent.
To appreciate why this form of reasoning is seductive, consider the alternative: major events having minor or mundane causes — for example, the assassination of a president by a single, possibly mentally unstable, gunman, or the death of a princess because of a drunk driver. This presents us with a rather chaotic and unpredictable relationship between cause and effect. Instability makes most of us uncomfortable; we prefer to imagine we live in a predictable, safe world, so in a strange way, some conspiracy theories offer us accounts of events that allow us to retain a sense of safety and predictability.