Role-Playing
Lying isn't just a matter of stacking up the feats, skills and spells, rolling the d20 and expecting that to get you through. Remember, you're playing a character and have to convince the NPC played by the GM that what you say is true. The better you play it, the more fun the experience is for everyone and the more likely you are to get a few bonuses to your check.
Keep your message simple.
If you want what you say to have the ring of truth, don't say too much at once, or it'll look too much like you're trying to cover your own arse. That's not to say you shouldn't have details worked out, but don't overload your target with details or they simply won't believe you.
Answer quickly.
A lot of times, it's not what you say but the confidence and speed with which you answer. Bluffing is a short-term tactic, intended to keep the opponent off-balance. If you're tailing someone and he confronts you with this, make sure you can answer quickly. Point at someone else and say 'because I thought he was following you and was up to no good!' This lie allows for error on your part and, if told convincingly enough, might convince the sucker that not only were you not following him, but that you were concerned for his health!
Steer close to the truth.
Make your lies as close to what really happened as you can. If you do this, then the particulars of your lie are a bit easier to remember, and the less effort you need to put into your deception, the more likely you are to deliver a lie convincingly. Furthermore, if the victim decides to check up on what you say, you have more verifiable facts at your disposal.
Check your facts first.
If you're hoping to convince someone that what you say is true as a long-term strategy, work out your lies in your head first. Subject it to as much scrutiny as you can; assume that not only are people going to try to lie to you, but that they are not likely to believe you. After all, in a liar's world, not only is everyone else a liar like you, but everyone else is going to suspect you of being a liar.
Keep your lies consistent.
The problem with telling a lie is that if you are not careful you have to tell other lies to support them. Each lie takes what you say further from the truth until eventually the original deceit becomes impossible to support. Make sure that what you say is logically consistent with everything else you say. If you let slip enough details that suggest you're not telling the whole truth, you'll land yourself in trouble.
Be aware of the tell-tale signs of a liar.
When lying, your physical behaviour can betray you. Practice your lies; make sure that your inflection, the way in which you deliver your falsehoods sound as natural as when you speak normally. Practice in front of a mirror if you have to: try to bring all those nervous tics, giggles and coughs under control. Think of your lie as absolute truth; convince yourself that what you say is true. Do not avoid eye contact or show other signs of discomfort with what you're saying. This takes a lot of practice and few truly master it, but do it anyway. If nothing else, it'll help in your next poker game.
Your opponent is not omniscient.
The physical signs mentioned above all point to one thing that gives a lot of liars away: panic. The watch in particular are experts at engendering panic; there's a look that they practice that suggests they know everything about you, and you have no business to be anywhere or do anything, and that there is no sense doing otherwise. They might know a lot, but they do not know everything. Only gods and those possessed of supernatural wisdom have that. When trying to determine your truth, the opponent has only two things to work with: what you say and how you say it.
If you end up trying to lie to a god or supernaturally wise entity, you're on your own.
Conclusion
Lying isn't often heroic. It isn't very nice. It means a lot of hard work, so in a way it's quite a challenge for a roleplayer. On the whole, though, it's better to be truthful when you can, although when being interrogated, misleading them can help quite a bit. If you're playing a good-aligned character (a path strewn with challenges at every turn) you have to be very careful when lying. Be very sure of your motives and make sure you can pull it off.
Of course, if you're evil, well, lie away! No-one needs to know the truth except you. Keep the rest of the bozos in the dark.