I've just seen three films which could be put in the conspiration theory category, namely Zeitgeist, Zeitgeist Addendum and Sicko. I don't know how much we can rely on the accuracy of the facts - the first part of Zeitgeist was disputed by many - but I think they have at least a grain of truth. For me, the most eye-opening part is the one from Addendum which presents the mechanism behind the world economy; talk about the rat race...
Addendum also offers a solution for our problems, a so-called Venus Project. The whole thing sounds pretty utopic, especially since you can't get an accurate idea from an hour's presentation.

Sicko concerns mostly the US, because it deals with the problems associated with their health system. The film is okay although it has the tendency to exaggerate.

A somewhat different film which I recommend is The Man from Earth. It has a catchy story, the type that keeps you glued to your seat waiting to hear more. Try it.