Moore's films, especially "F-9/11," are good examples of the appeal of conspiracy theories:
With his films, Moore claims clarify events that have a high level of complexity. For example: 9/11 was caused by Bush; unemployment is the auto industry was caused by a guy named Roger; etc.
Moore also tends to make his villains powerful, almost shadowy organizations with great power: the Carlysle group, the NRA, "Big Oil," etc.
This is one of the reasons that Moore's "documentaries" are more successful than most: he turns complicated issues into entertaining, almost "comic booky" tales of secret organizations out to control the world.
Of course, some will say "yeah, but Moore's theories are TRUE." However, that is-of course-what every believer in a conspiracy thinks.