DD came home from school one day this year (she was 7) and told me that a bunch of kids in her class were making fun of her for believing that her dad could do 'magic' (you know, pull a quarter out of her ear, make it disappear, etc).. Even her teacher had told her it was just a trick (which I think just made her more upset, and fueled the fire with the kids doing the picking).. Well, we had to tell her he wasn't really doing magic and showed her how the tricks work. She was VERY angry at us for lying to her about the whole thing and asked if we lied to her about anything else. Well, as angry as she'd been about the whole thing we decided to come clean about Santa (there'd already been some questions about that as well, so the truth wasn't far off anyway, I don't think)... Oooooooh boy, she was irate that we hadn't told her the truth about Santa before.
So, in summary, I think it depends on the kid.