Diana = A tragic accident caused by high speed, drunk driver and poor security arrangements. If someone wanted to kill Diana, a skiing accident would have been more believable.
JFK = The conspiracy theories just don't pan out and are pretty much debunked. Oliver Stone's movie, while a good movie, was nonsense. Lee Harvey Oswald was the sole assassin.
Elvis = Fat guy + Drugs + Too much food = Heart attack.
Roswell = I find it hard to believe that a species capable of interstellar travel avoiding black holes and cosmic radiation would suffer technical problems over New Mexico. A crashed experimental aircraft is a more believable explanation. The US government could very well encourage the spread of "UFO" stories to divert attention from military projects.
Pyramids = Built by humans. It just seems remarkable because it was so long ago, but humans are innovative, and with religious fevour, the manpower, and given enough time, it could be done. In a few thousand years, future humans may be asking whether aliens built the Channel Tunnel.
The Matrix = If we are in the Matrix, and Gary Neville is also part of the programme, then I wanna get out!!!
Bigfoot = There may be species yet undiscovered, but no evidence thus far to suggest anything like Bigfoot exists. I wouldn't rule the possibility out completely though.
9/11 = No conspiracy. Never underestimate the capabilities of religious fanatics.
Neil Armstrong = The moon landings were real. The "Clavius" website debunks all the conspiracy theories.
Kurt Cobain = Possibly. This seems the most likely. Motivated by money. One theory relates to Cobain's suicide note, which apart from the lower four lines, appears to be an announcement to his fans that he is leaving the music business, rather than ending his life.