Cold fusion hoax vs. Red Mercury scare. I take the latter.
Because we know enough about cold fusion to debunk it, whereas we know nothing about Red Mercury, so we ascribe to it whatever properties we as individuals think plausible.
While I expect that there is a substance called "Red Mercury" that the Russians have used in the making of nuclear weapons, I doubt that such a magic explosive exists as described. Our spies in Moscow were not completely incompetent throughout the entire cold war. If such a thing existed, we'd probably have obtained knowledge of it, and would be employing it in our conventional ordnance. A super chemical explosive has implications that go far beyond improved nuclear weapons.