I recently read this on conspiracy theories:
I’ve always wondered if the underlying psychology surrounding conspiracy theory nonsense is a desire to believe that there is some sort of ultimate competent and controlling power in the world. The chaotic nature of everything we see can be frightening, and rationalising at least some of it by assigning it to some sort of illuminati, no matter how evil and despotic, can give comfort to some. It’s very much the same as the basis for religious belief. I find it ironic when occasionally I see some commenter attack religious belief, usually citing some superlative such as ‘mentally challenged’ or ‘stupid’, only to see them go off on a flight of fancy about some even sillier conspiracy theory.
Alan Moore agrees, and says many don't like the idea "no one is in control. The world is rudderless." Other reasons I think are dislike of the "official story" or simply getting a grand explanation of evil in the world. Plus it seems to me a lot of conspiracy theories are more exciting, and they get off on being "in the know".
I know that prior to learning critical thinking skills, the criteria for me was simply what's more interesting. Do psychic powers exist? Well, it would be cool, so yes. Did JFK get killed by a conspiracy, or some disaffected loser? Well, the former is far more interesting, so it must have been. That, plus I didn't really even know of the skeptical view at the time. These things were simply taken for granted among my "circle" (I have an uncle who believes all this and more-yes, the lizard people too. He gave me a book by David Icke for a birthday present once. That was pretty hard to swallow even then however. We don't really talk any more-it's awkward.).
My uncle believes in both aliens and Jesus (though not that they are the same, so far as I know). He claims to have seen aliens, ghosts, and his past lives. Oh, and that the Illuminati tried to kidnap him once, my mom says. Naturally he is also a Truther. It seems these things cluster. Few people are content with just one alternate view.