I'll joke-lie almost all the time, but that's by saying things like "I got this bruise because I was in a fight before."
It's funny, because I'll start with small details, then get more and more into detail about what supposedly happened. Sometimes I'll even get people believing me, until I start getting into details about very-close-to-unreasonable things I've done.
No matter what, though, whether they don't follow it up, or I'm forced to reveal it, I always let them know I was just pulling their leg.
So I've got my lying down pat, I guess.
If it's anything more than making stories up, though... E.g., lying to work, or anything more serious, I won't lie.