XKCD recently published "The Flake Equation" (a play on words referencing the Drake Equation, a formula to calculate the number of planets which have intelligent life in the univserse, based on some assumptions about the number of galaxies, planets suitable for life, and others):
What I like about this is that although the comic deals with aliens and UFO sightings, the same principle applies to all kinds of conspiracy theories and pseudoscience. To be a critical thinker, its important to realize that there will always be evidence out there supporting any position anyone could take. The difficult part is critically examining that evidence, and deciding which pieces are more likely to be based on reality, as opposed to the fallibility of human psychology or just coincidence.
EDIT: I forgot to add the hover text (no XKCD comic is complete without it):
Statistics suggest that there should be tons of alien encounter stories, and in practice there are tons of alien encounter stories. This is known as Fermi's Lack-of-a-Paradox.