I think I figured it out when I was around 8 or so, when my parents suddenly put a lock on a closet downstairs and forbid my siblings and I from going in there. They made up some excuse, I'm sure. Anyway, we waited until my parents went out one day, and then using my father's large collection of power tools, took the door off its hinges! Inside were some (unwrapped) gifts and a bike my parents had bought for my brother and I. Oddly enough, I don't remember feeling crushed or dissapointed in finding out Santa wasn't real. I was getting a new bike, and I didn't care WHO brought it!
My siblings were older than I am, so I'm sure they already knew there wasn't a Santa, but they never did let on.
Oh, and my parents never did find out about us taking the door off the hinges. We put it back on, good as new, and told my mom years later about it. The hardest part of the whole thing was acting surprised on Christmas morning, especially when the bike wasn't under the tree! (My parents gave it to my brother and I later, after the other gifts had been opened).