We have an Elf on the Shelf, one of the slightly effeminate original doll-like versions, rather than the plush version I see everywhere these days. My kids are devoted to "Relf," and run around every December morning like maniacs to see where he's relocated to. While remembering to move Relf each night is pretty much a giant pain in my ass, the awesome thing is that my kids completely and totally buy the Shelf Elf Lore -- that every night he flies home to the North Pole in order to report their behavior to Santa.
Relf is a hell of a bargaining chip, is what I'm saying, as is Santa himself, obviously. My kids have never really questioned Relf's abilities, but the standard explanation in our household is "he's magic." Which, okay, isn't all that creative.
In the spirit of deliberately deceiving your children, here are some of the funniest lies I've heard of parents telling their suspicious kids about Santa and his helpers during the holidays: