But they don't! That's the whole problem with conspiracy theorists, they apply such a high level of scrutiny to the official facts, but don't turn that same level of scrutiny towards their version.
Ok, so a lot of people claimed to see a person on the grassy knoll, but it still doesn't change the fact that the exit wound was on the front of JFK's head. Lee Harvey Oswald could have been a patsy, but is there really any evidence that he was? Let's not forget that he killed a police officer who stopped him after the assassination, but if he was innocent, why would he have to?
Roswell is another great one. Remember that it occured in the early days of the cold war, so if it was a top secret high altitude balloon designed to monitor for Soviet nuclear tests, the military would have a good reason to cover it up. And there was a cover up, everyone knows that. The only thing we have to go on for Roswell is anecdotes of the people who were there, or who knew people who were there. It's ambiguous enough that we can have our own feelings about it, but we really don't have enough to go on, so ultimately we should fall back on Occam's Razor.
I haven't paid attention to what the current picture of the supposed 9/11 conspiracy is, but I do know this; The Bush Administration didn't really profit at all from the attacks. Was it supposed to be Halliburton who profited? They did earn a boatload of cash in the aftermath, but the risk involved for such a minor monetary gain is way too high for any sane businessman to ever consider it.