The "Paul's Dead" conspiracy. Some people think that Paul McCartney died in '64 and was replaced with a look-alike.
Also, some think that Meg White of The White Stripes died in a car crash and Jack White replaced her with a robot. (A bit far fetched, if you ask me.)
Oh, and that the government was supposedly after John Lennon and that's the reason he was killed.
EDIT: And in addition to the Kurt Cobain ordeal, some claim he's still alive and he and Courtney faked his death. I think not.
EDIT AGAIN!: Jeez, I keep forgetting things. I thought I'd mention the "subliminal messages" that people claim to find in songs when played backwards. Most people know of the "Stairway To Heaven Is Satanic!" conspiracy and you can find almost every Nirvana song on youtube, played backwards, with subtitles explaining the socalled "message". If you play a certain White Stripes song backwards, (I forget exactly wich one) you can hear what sounds like, "Meg is dead and I replaced her with a robot" but, it sounds more like, "Cranberry sauce".