How to build an RPG game for fun and a lack of profit.
The creation of an RPG is not that hard. Running games is easy, though DMs tend to make it look much harder then it actually is. With pages and pages of stuff written down, maps everywhere, and checking the balance of items, it seems like a lot of work. Nothing could be further from the truth.
In truth, running a RPG is a bit like a research project from school. It's a bit of thinking, a bit of writing, and a whole lot of reading what other people did and then stealing it.
Since you expressed interest in a conspiracy theory type game, or paranormal investigation (if you prefer), I will start my thoughts there. These are actually much easier to run then other types of games. Actually any modern setting is particularly easy. You don't have to do any conversions, you don't have to worry about creating strange names, and you don't have to worry about your PCs not understanding the local laws.
What makes it so easy to run a modern game is the shear abundance of material available on the internet, compared to the bad old days. Wikipedia is your friend. You can find a lot about anything there. With wikipedia and a rule book for a modern setting, you can run tons of stuff. It makes it so easy to note things down, to get a few ideas, and start right off.
Here's a brief outline of how to do it;
1. Choose a major city, US or foreign. It really doesn't matter which one. I strongly suggest choosing a city that you and your players have never been to, that way you aren't going to get 'Hey! That's not right, broad street never connects with 2nd ave!' which while lessens the verisimilitude of the place, it absolutely kills game flow. Look that city up on wikipedia. Looking over the basics of a city will give you a great overview of that city. You know the basic neighborhoods, the layout, and some major land marks. Especially pay attention to libraries, museums, and monuments- as well as large buildings (like sky scrappers).
2. Review the history of the city specifically. Where there any major disasters? How about battles? Scandals are always fun as well. This stuff is a great base for creating adventures. Haunted battlefields, psychic depressions in areas of great suffering, and even strange groups pulling the strings behind the scenes for scandals. This is also why it is a good idea to pick a city that you nor your PCs are emotionally attached to. If you pick your hometown there's always a chance that your PCs will go 'My great-great-grandmother died in the Great Fire of '27, that's not right that you made it a plot by the Evil Organization'.
3. Do a quick search on the internet for things like '[City Name] Haunted sites', or '[City Name] UFO sightings'. That sort of thing. That will give you a great start for figuring out some more adventures.
4. Extra leg work. This is entirely optional, but it can be fun and entertaining. Look at some places in the city with google street view and maybe do some searches on youtube for things in the city. Another fun thing is to find the local news stations and watch some local news, get a real feel for the real things that are happening there. If during a session, your PCs have to take a detour because of construction that is happening.
Geez, guys, you can't tell me when the formatting is all messed up? Come ON!