A research paper recently made available on line makes an interesting point about belief in conspiracy theories: In a pair of studies, willingness to credit one such theory appears to correlate with a willingness to believe another, even when the two beliefs directly contradict each other.
More specifically (quoting the paper's abstract), "the more participants [in a study] believed that Princess Diana faked her own death, the more they believed that she was murdered," and "the more participants believed that Osama Bin Laden was already dead when U.S. special forces raided his compound in Pakistan, the more they believed he is still alive."
The paper is "Dead and Alive: Beliefs in Contradictory Conspiracy Theories" by Michael J. Wood, Karen M. Douglas, and Robbie M. Sutton of the University of Kent. You can access a PDF file here.