When I was around four I pretended that there were little people (not midgets - for whom I had an inexplicable terror - but rather miniature, fairie-like creatures) living in my house.  So much so that I had my best friend completely convinced.  She of course never got to see them...because they would've been scared of her obviously...but I kindly let her hide nearby while I had whispered conversations with them (you had to whisper you see, since their ears were so little).  I don't know what drove her to it - but I'm guessing it was the fact that there were no magical creatures in her house - but eventually she told her mother.  She then confronted me and told me in no uncertain terms that her mother said there were no such little people in my house...which of course I knew - sort of.  It was a sad day not only because I had been called a liar but also because I think I stopped pretending about little magical people that day - at least in front of my friends.

On the bright side, a few years later, I read Anne of Green Gables and realized that it was perfectly normal to pretend that fairies, nymphs and any score of magical creatures existed.  It was a relief to find out, as it went a long way to soothe my troubled conscience and it made me wish my friend's mother had read it too.