If the "revelation" that Santa isn't real rocks your (presumably Christain) religious beliefs, then your parents were probably not the best Christains.

I enjoyed the fun of Santa as a kid, but was told he was Coke's (why he do think he wears red not green?) non-religious version of Saint Nick. I think it was the best way to deal with it (better than lying), although it could be pretty harsh if you had to do it one go;

"No, no, Santa is real... was real, well....he's dead."