Documentaries concerning conspiracies may have some truth to them, but I think most would have exaggerated information. If it's too exciting, it will be better to research the documentary and see reviews about it.
There are some great ones out there that are educational, but more often I find that the films are incredibly exploitative, and it feels cruel to watch. It's like laughing at them and their mental illness. I just can't do it.
If it's a political conspiracy, you have to be careful because it can also be a form of propaganda. When sensitive and controversial topics are involved, it would be better to do some further research.