I "cheat" so rarely, that on the occasions I do, the players never know. I roll all of my combat and save rolls for the encounters out in the open so the players can see I am not cheating them, in case they die.
I do, on occasion, change the encounter stats on the fly.
Example:
I am running an after school program for the local Middle School one day a week where the kids play 2ed D&D. The faculty advisor had them roll up 3rd level characters to give them a better chance of survival. I threw a nightmare at them, only to find out that the faculty advisor gave them no magical weapons. As they had NO clue what they were facing, I immediately dropped the creature's AC to 0 to give them a chance to hit it (albeit a small one). Unfortunately, the class learned the most heartbreaking rule of all as I took 3 characters from them in that encounter.