Skeptic Project

The earliest reference I could find comes from the 1927 Tissue-Culture King: http://www.revolutionsf.com/fiction/tissue/07.html

...we had discovered that metal was relatively impervious to the telepathic effect, and had prepared for ourselves a sort of tin pulpit, behind which we could stand while conducting experiments. This, combined with caps of metal foil, enormously reduced the effects on ourselves.

I'm not sure where the conspiracies come from, but I'd venture a guess that the Cold War and both factions' obsession with mind control weapons were a major contributor.

I've also found a post arguing that collecting aluminum foil is a common compulsive behavior. Hearsay, but still.

Ironically, wearing a foil hat actually amplifies common broadband and satellite frequencies. Maybe gubbermint is behind it after all?