My own theory about conspiracy theorists is that they are, inherently, control freaks.
The idea that the world is a random ball of chaos, and that people, even powerful ones, can only exert a limited amount of control to events, scares such people.
It is therefore more "comforting" on some level to think that SOMEONE, even an evil someone or someones, is in control.
I would love to test this hypothesis at some point, by measuring conspiracy theorists' tolerance for ambiguity (how comfortable they are with feelings of being out of control).