Anatomy of a Moral Panic: The "Free Speech Crisis" is the first in a video series by Michael Hobbes, formerly of the You're Wrong About podcast, currently co-hosting Maintenance Phase, and frequent writer about moral panics and junk journalism.
Some of these explain conspiracy theories and others explain why we believe them.
Frontline: United States of Conspiracy. 2020. Mostly about Alex Jones. Sandy Hook discussed beginning around minute 18.
Coronavirus: Conspiracy Theories: Last Week Tonight with John Oliver (HBO). 7/19/2020.One of several episodes about conspiracy theories.
Conspiracies (Web Exclusive): Last Week Tonight with John Oliver (HBO) March 27, 2016 Brilliant example of DIY conspiracy theory.
Adam Ruins Everything: Adam Ruins Conspiracy Theories S02E12: The link goes to the video at TruTV. Oct. 27, 2017. The YouTube video linked below has the Moon Landing segment.
How 'Plandemic' and Other Conspiracy Theories Spread. CBC interview with Timothy Caulfield about COVID 19 misinformation.May 11, 2020.
Buzzfeed Unsolved Network: Lizard People Conspiracy Explained. Dec.6, 2019. Also explains David Icke (to the extent that can be explained) .Other episodes include explaining the New World Order, Flat Earth, and the Illuminati.
Science & Cocktails: Secrets and Lies: The Psychology of Conspiracy Theories with Karen Douglas. Jan. 14, 2018. Does what it says on the tin.