I remember when Game of Thrones was in its early seasons. I had read the books so knew what was going go happen. I would sit and watch my friends discuss the show (who hadn't read the books) and I would be positively gleeful knowing that I knew more than them. It was like I possessed secret insider knowledge they all craved.
I suspect people who believe in conspiracy theories feel the same way. They know something others don't. Everyone else is waiting for the script writers; they've already seen the source.
It appeals to our ego and inherent narcissism. And frankly, when you have a people who have been told for decades that they are special and unique, narcissism can be an overrepresented quality