It's even better when they say "I was talking to another player, and I think we've figured out the big plot, A and B are doing C, so that D can happen." and they're completely and utterly wrong. In fact, Z and Y are plotting X, so they can accomplish W. Your players have gone to the time and effort to figure out what's going on, and pick up your clues, and have come to the completely wrong conclusion, so at some point you can go "No! It's actually X, Y and Z! See! It all makes sense now!"
That makes me happy.