I think it's allowing them to have a few years of their lives that they don't HAVE to worry about how much money you have. Once they know that mom and/or dad are buying the presents, the lists change. It's no longer something that is a list of their most desired gifts. It's a list they think you can afford. That's why I agree to lie for them. I don't want my kids worrying about life yet. They're five (twins), and three. They have their whole lives to worry about things. For now I just want them to be little, and to feel nothing but magic and joy this time of year.
I also can't crush their belief in Santa because Santa doesn't walk alone. He has the Easter Bunny, and the Tooth Fairy with him. And Unicorns. And Fairies. And magical princesses. And mermaids. And dragons.
To take all of those away when they kids are so small and full of imagination would just be so sad. I can't imagine being responsible for crushing my daughter's dream of becoming a princess when she grows up. (She'll grow out of it and find a new dream, but for now being a princess is all she wants to do.)
I agree to go along with Santa for the same reason I agree to let them believe in unicorns. Because it's not going to hurt them, and they like believing in them.
**As it turns out, my daughter (five) doesn't believe in dragons, but my son (five) does. He says they live in New York City. ;)