I once made up a fake boyfriend to scare this guy away, he was a real weirdo (I called him my stalker) and he kept coming on to me - so I just blurted something out.
My imaginary boyfriend's name was Duncan and he lived in Scotland. The lie got more elaborate when I added bits to the story, like, things were a bit shaky with him but he came to see me on Valentines Day and we made up, and that his grandmother wasn't very well, and all this sort of thing. I let all my friends in on it, some of them kept telling me to just tell him I don't like him, but this was much more fun

When I started going out with my boyfriend, I told my stalker that I was cheating on Duncan- too funny, I still have the MSN conversations saved because his reactions were so hilarious. Eventually I "broke it off with Duncan, but we're still friends".
I don't go on MSN any more, so the lie kinda stopped (though my friends do ask me if he's alright once in a while, hehe), but those 4 or 5 months were the best and most fun lie I have ever told.