I second 'Voodoo Histories', even though I don't agree with everything in it.
'Them' by Jon Ronson gives some background to some of the big American conspiracy theories that doesn't get talked about much, and is also extremely readable. I hadn't been aware of the Waco -> Ruby Ridge -> Oklahoma bombing -> Alex Jones connections, for example.
Although it's mostly coming from 'the other side', I found 'Apocalypse Culture' (I and II) a really good primer into the thinking behind the conspiracy mindset. I've come to genuinely despise 'transgressive culture', but those books should be read by all skeptics with strong stomachs.