Thanks to my friend Be for pointing out this study at MIT which found that tin foil hats don't actually do much to block most frequency bands, and in fact amplify certain bands that are most commonly used for government purposes (according to conspiracy theorists at least):

It has long been suspected that the government has been using satellites to read and control the minds of certain citizens. The use of aluminum helmets has been a common guerrilla tactic against the government's invasive tactics. Surprisingly, these helmets can in fact help the government spy on citizens by amplifying certain key frequency ranges reserved for government use. In addition, none of the three helmets we analyzed provided significant attenuation to most frequency bands.
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The helmets amplify frequency bands that coincide with those allocated to the US government between 1.2 Ghz and 1.4 Ghz. According to the FCC, These bands are supposedly reserved for ''radio location'' (ie, GPS), and other communications with satellites. The 2.6 Ghz band coincides with mobile phone technology. Though not affiliated by government, these bands are at the hands of multinational corporations.
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It requires no stretch of the imagination to conclude that the current helmet craze is likely to have been propagated by the Government, possibly with the involvement of the FCC. We hope this report will encourage the paranoid community to develop improved helmet designs to avoid falling prey to these shortcomings.

Somebody alert Kevin Barrett.