For anyone interested in conspiracy theories, Umberto Eco's Foucault's Pendulum is required reading. As the TvTropes article on the book says:

While The Da Vinci Code plays the conspiracy theory view of history completely straight, and Illuminatus!! subverts it wildly, this novel is an elaborate and sometimes savage Deconstruction.

The plot is basically that the narrator and a couple of friends, bored, skeptical intellectuals who work in a publishing company where they deal daily with crackpot conspiracy theorists, decide one day to invent just for kicks the ultimate conspiracy theory, a Plan that explains the whole history of the world. Not spoiling much when I say it doesn't end well.

Near the end there are some nice reflections on what lies behind the impulse to invent such theories. An excerpt:

Take stock-market crashes. They happen because each individual makes a wrong move, and all the wrong moves together create panic. Then whoever lacks steady nerves asks himself: Who's behind this plot, who's benefiting? He has to find an enemy, a plotter, or it will all be, God forbid, his fault.