I believe it all stems from an infamous incident in July of 1997, when a Canadian FReeper's sister (I forget which FReeper it was, someone may be able to help me out here) was at Lake Diefenbaker, having a wine and cheese party right by the lake with several of her friends. They were attacked by a wayward moose who bit the sister (I believe) and trampled in the cheese.
Where the tin foil hats came in, I'm not quite sure. I think those were a separate incident.
