Might watch this tonight but I expect it's heavy asf.
The Slow Burn podcast about Watergate did an episode on conspiracy theories because the number of people who reported believing in conspiracies jumped by a pretty massive degree after Watergate (since that was a conspiracy that did, in fact, go all the way to the top). I think people want to come off like they have some inside knowledge; that they don't need to just passively accept things. It's a dangerous sense of individualism to say that we should have a say about the truth in all things. But people don't wanna hear that they really just don't have any way of understanding a topic, and that they should listen to others about it (the cigarette thing you mentioned is this. My dad swore they weren't really worse than a candy bar. He was a day laborer with a high school diploma, and he claimed there was no "real science" to support that they were unhealthy. Just baffling. )
There's some really exciting neuroscience work that hints at why people fucking love conspiracy theories.
The thrust of the findings are that the human brain is evolved to get endorphin hits for making "parallel connections".
E.g. "if I plant seeds in the spring, they will bloom in late summer". Your brain makes that connection of two parallel ideas/observations and gets an actual kick out of it: making a logical, useful connection that spans space or time gives you an actual hit.
It's an evolutionary quirk that has helped us survive and maybe develop consciousness. "Plan ahead, think more broadly to make logical connections, and you'll be rewarded." There's an actual positive reinforcement mechanism in your brain to promote this kind of lateral-connective thought.
But in the 20th century, as the personal and global world became complex and broad to an unprecedented level, our wiring for these "wide connections" basically went... haywire.
Becoming obsessed with conspiracy theories is literally your brain's "lateral connection reward mechanism" making seemingly-logical connections where no such connections exist, and you constantly getting satisfying endorphin hits off them. Your brain thinks its smart and doing well, and it rewards you for that.
The base angle of the neuroscience was looking at the right and left hemispheres of the brain and how they operate. The gist is that one hemisphere is "linear" thought (in the moment, meditative, reactive) and the other is "parallel" thought (long-term, connective, cause and effect). The "parallel", "logical" part of your brain can get tripped up on itself in many ways, including this.