I always liked the conspiracy theory that there was a secret government agency as well as the ones that are open.
The Men in Black is one theory, although not the only one. They aren't always in charge of aliens or paranormal activity either. Sometimes they are in charge of assassinations and so on. I read a kids series where they had a secret agency that trained children as agents that could work undercover.
I've seen it a couple of times in films too. Like in Fringe, or Alias.
I just love the thought of there being another layer to life. Like magic, but something more realistic and possible.
I don't really believe in any particular theory though, I just like the thought of them.