The answer depends highly on what position you hold in regard to evaluation of conspiracy theories' claims. Let me present the following example.
Science was making huge strides in the late 19th century, including revolutionary discoveries by Louis Pasteur and his followers. That opened an opportunity for numerous hustlers to claim discoveries of magic potions that would cure numerous diseases. There were so many of those that reputable institutions, such as Institut Pasteur, would not even respond to them.
In 1897 Ernest Duchesne, and unknown 23-year-old soldier, sendsent a thesis to Institut Pasteur, claiming that Penicillium glaucom can be used to cure typhoid. This outrageous claim was not even acknowledgeacknowledged, and Penicillium remained unknown for 20 more years, and its use in medicine was not appreciated for 30 years after Duchesne's ill-fated thesis. During those decade millions have died of typhoid and syphilis that could have been cured if the recipient of Duchesne's letter provided due diligence.
I agree with Julien that the probability of any given conspiracy theory is wrong is much higher that its validity. However, one has to consider not only the alternatives, but also the cost to humanity of making a mistake. Just as in Game Theory, that matters is not whether P1<P2P1 < P2 or vice verse, but whether P1C1<P2C1 < P2C2 or vice verse, where P is probability and C is the cost.
And because the cost to humanity of you making a mistake depends on your position so does your due diligence. If you are just chatting with conspiracy theorists for pleasure just follow Julien's advice; however, if you are in charge of a relevant investigation you'd better keep your mind wide open.