People are all different, so the reasons for them believing in conspiracies cover a broad range of factors. In general, though, people tend to believe in conspiracies because of helplessness.I found that belief in conspiracy theories is strongly linked to insecurity about employment, alienation, lack of interpersonal trust, and minority status ...
I think people choose to believe in some of these theories because it makes them feel like they have a one up over others. They know stuff other sheep don't and this empowers them. Anyway, that's what I have observed.