Stories with realistic conspiracies, with a decidedly unrealistic perpetrator, goal or powerbase. Deus Ex is a good example; A super powerful organization beyond government control that is pulling the strings to influence and eventually dominate society as a whole, armed with both the media and super soldiers, powerful viruses and AIs. I always feel a sense of dread when reading/playing/watching stories like this; the thought that the enemy is both everywhere and nowhere to be found is frankly pants shittingly terrifying. He could be that banker over there, that kid with the funny looking ball, or even your best friend. The Conspiracy could quite literally be anyone, and you wouldn't be able to tell who's who until you get into the bottom of things. And even then, doing so might just reveal something you might never have wanted to know...
TLDR, I unironically am scared of shit like the Illuminati because dealing with something like that is not just "Shoot the bad guy". There's LAYERS to dealing with a world wide conspiracy than just some bullets and a hard attitude.
Well, unless you're JC Denton or some shit, then you can just gun the fuckers down, hack into their bank accounts and laugh at their pitiful attempts at piercing your 100 MW magnetic reflection shield.