They question "conventional wisdom" and "the official story".
I disagree with your generalization about most "conspiracy theorists" do not provide any evidence. In virtually every case I know, they provide circumstantial evidence; which, as you should know, is admissible in a court of law or can be used to obtain a warrant and get real "hard evidence". Here is what President Franklin Delano Roosevelt said about government actions "happening on purpose."
"In politics, nothing happens by accident. If it happens, you can bet it was planned that way."
By your measure, this makes FDR a "conspiracy theorist"
How about these quote, from another President?
“I am a most unhappy man. I have unwittingly ruined my country. A great industrial nation is controlled by its system of credit. Our system of credit is concentrated. The growth of the nation, therefore, and all our activities are in the hands of a few men. We have come to be one of the worst ruled, one of the most completely controlled and dominated Governments in the civilized world - no longer a Government by free opinion, no longer a Government by conviction and the vote of the majority, but a Government by the opinion and duress of a small group of dominant men.”
― Woodrow Wilson
“Since I entered politics, I have chiefly had men's views confided to me privately. Some of the biggest men in the United States, in the field of commerce and manufacture, are afraid of something. They know that there is a power somewhere so organized, so subtle, so watchful, so interlocked, so complete, so pervasive, that they better not speak above their breath when they speak in condemnation of it.”
― Woodrow Wilson, The New Freedom
Do your research; that is what good skeptics do.