Salon magazine's political report, Alex Seitz-Wald, recently put up a post on "Why people believe in conspiracy theories." There's a picture from The X-Files TV show and an interview with an Australian professor.
Perhaps one underappreciated reason is that the national government I'm most familiar with, the U.S. government, is capable of all kinds of crazy things. Here is an article from The New Yorker that mentions weird assassination plots by the CIA. Did you know that a U.S. president formed a secret spy group to destroy his political opposition? People of a a certain age will remember that. Maybe only "conspiracy theorists" remember what the FBI did to Martin Luther King.
Not the American government, but still interesting: Here is an article about discussions in NATO about weaponizing the weather. Here is an article about a London bank rigging the financial system (note the opening sentences.)