9. Zion Is In The Matrix - The Matrix Revolutions
Despite being presented as the "real world," the final human city on Earth, Zion, is actually just another layer of the simulation known as The Matrix.
Why Everyone Believed It
This theory picked up major traction following the end of The Matrix Reloaded, where Neo (Keanu Reeves) is shown to possess supernatural abilities outside of The Matrix, destroying the Sentinels attacking Zion with only his mind.
Given that this happened at the very end of the movie, fans avidly speculated that it was anticipating a reveal in the third film, The Matrix Revolutions, that Zion was in fact another Matrix itself, intended to give Zionists a false impression of freedom.
What Actually Happened
Oddly, this plot thread actually gets little attention in Revolutions, beyond The Oracle (Mary Alice) explaining to Neo that the power of The One extends beyond The Matrix, all the way back to the Source.
The implication is that, being The One, he's able to exert a degree of influence over anything connected to The Source such as the Sentinels, while there's zero suggestion at all that Zion itself is another Matrix.
Hopefully The Matrix 4 might clarify the point, though.