Here's my favourite conspiracy theory:
Actually I've just made it up; and since it was me who made it up, that's why it's my favourite.
Osama Bin Laden couldn't possibly have done 9/11, because given that the Bin Ladens are firm friends of the Bushes and were in America at the time, that proves Osama Bin Laden was having breakfast with Bush on the morning of 9/11, which proves he couldn't possibly have masterminded the operation.
Bush could've though. Perhaps he has a special cornflake code. His White House aides perhaps look at him eating, and if he tips some cornflakes off his spoon three consecutive times before taking mouthfuls, it means attack America this morning. If he stops eating before his bowl's empty, maybe it means, "No, no, stop the attacks; I've changed my mind." Maybe on the morning of September 11, Bush gave the code for attack, and then the code for stop attacking; but it was too late; his aides had rushed off to do his bidding and could no longer be contacted. So he tearfully confided in Osama Bin Laden, who kindly agreed to take responsibility for the attacks for Bush, so Bush wouldn't look bad.
Surely that's got to be one of the best.