This got me thinking. My dad tried this kind of thing with my sister and I and it only ever worked once :D.
We only ever had Coke if my dad had been to the pub (very rare) and brought us back a bottle or at birthday parties. It wasn't something that was never in the house otherwise. I can't remember if we had been asking for it or if my dear Papa just took on himself to be evil, but Soph and I must have been 5 or 6 when he tried to get one over on us.
His gambit was Coke is made from cold tea.
I know, not the world's greatest fib, but we were young and coke was a treat and this was like saying if you buried your sweets they would grow into a sweet tree (yes I tried that too, but I came up with that all by myself, I didn't need my father to try and convince me of that one) because there was always cold tea around in the bottom of the pot (no tea bags for us at that age - always loose leaf tea in a pot).
He had us so convinced that I remember actually trying some and I have to say, to a child, cold tea is utterly disgusting.
That was the first and last time we ever believed him at face value on something like that!
So, did you parents tell you things that you completely believed and then found out were heinous fibs? :)