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1. They're exciting; they make life more interesting. This is the same reason people believe in fairies, goblins, Nessie, etc.

2. They absolve you of responsibility for what's being done wrong. If the country/world is being controlled by a secret cabal that you have no influence over, then whatever's gone wrong isn't your fault in any way. There's no need for you to reconsider the way you vote, support a cause by attending protests, or anything like that.