Radiohead's 2000 album Kid A, a follow-up to the hugely successful OK Computer, seems to be particularly good at spawning conspiracy theories. In an article in The New Yorker, British novelist Nick Hornby called it "commercial suicide," speculating that the band may have intentionally made it weird and experimental as way to piss off the label and get out of their record contract (too bad it went on to be a bestseller). And then there's Spin magazine's Chuck Klosterman claiming that Kid A unintentionally foreshadowed 9/11 a year before it happened.
On a purely unrelated note, this is Radiohead's manager.
Oddly enough, Kid A did include creepy clues to the future, but not on the album itself -- they were hidden in the actual packaging. You see, besides the regular cover booklet with the usual stuff like lyrics and credits, there was a second, slightly more disturbing booklet hiding behind the album's tray. The tray was all black, so the extra booklet wasn't immediately visible. It featured strange art and snippets of lyrics, as well as some other pieces of text that seemed to be random bits of poetry.
It may have also been Thom Yorke's rejected children's book, You Will Never Sleep Again.