Sometimes, in the middle of a conversation, I'll spin off into a tangent which is somewhat factual sounding, and completely untrue. The example that comes to mind at the moment is convincing a friend of mine that there's no such thing as narwhals ("Sea unicorns? Really?"), while we were working on a project for some class. (Apparently it took a while for other people to convince him otherwise; I am vaguely proud of this, if not exactly proud of being proud of this, if that makes any sense.) This is a thing I do all the time.
Why? Part of it is because it's hilarious, sure. Another part is that I'm terrified that if I didn't tell blatant lies from time to time, people would just accept everything I said without questioning it. It sounds like a silly concern, but it actually happens more than I'd like, and it bothers me whenever it does. I've tried being that guy that always knows what he's talking about and never leads you astray, and it is no fun. :(
It's also a lot of fun to tell elaborate fictions, of course! You get to re-cast a piece of the world under an alternate system of rules, which isn't quite internally consistent, and try to run ahead of the other person to paper over the inconsistencies before they find them. If they catch up and figure out a hole in my story that I can't work around, then I lose; it's sort of like a mental game of tag.
On the other hand, there's also the possibility that I just inherited it, since my dad does the same thing sometimes. >_> There's a story my family loves to tell, about how one of my aunts asked my dad how he kept the lawn so nicely mown. He told her all about the Rent-a-Sheep service, where they'll bring a few sheep out to your house every once in a while to munch on your grass, and he told it so convincingly that everybody bought it. My dad: occasionally pretty awesome. :D