It depends alot on the material one is reading. What are the author's sources? Are they using verifiable material, showing definite or possible connections and building logically from there? Or are they just making shit up? If it's the latter, then I'll go to the fantasy section for my pure fiction, but if it's the former, then many interesting facts can be found to have many interesting connections which can be used for a variety of theories.
For instance, I truly enjoy Robert Anton Wilson's "Cosmic Trigger, Final Secret of the Illuminati". Wilson is very coherent, logical and down to earth. He doesn't "BELIEVE" in any particular theory, but is willing to look at any theory and see what it may contain. I also truly enjoy Wilson's fictional works which blend historical facts with fantastic craziness, and which he admits right away are fictional novels.
On the other hand, I've browsed some of the "Montauk" books (whose author I forget), and while I think they could have been formed into interesting novels by a competent author, I find that they have too much horseshit in them for me to bother with. I guess for me to enjoy crazy "nonfiction" I prefer for it to have at least a somewhat larger percentage of verifiable facts than crazy speculation, but that's just me...