If an NPC flat out lies to a character (as opposed to half-truths, evasions, and hiding things), I secretly roll for my PC's. Since I'm apt to roll when the character is telling the truth, and I'm rather fond of just picking up d20's and idly rolling the dice behind my screen, this generally doesn't give anything away. Also, my players are pretty good about being suspicious and requesting rolls when something sounds dubious or the NPC is new to the players, so that it rarely comes up that I need to make a sense motive check for someone at a time that they don't ask for it.
For lesser situations, 'hunchs' and the like, I expect the PC's to pick up on the role play aspect, and request dice mechanics when they feel they need something confirmed. They can 'hunch' all they want, at any time they want, but there are limits to what I'm willing to give out based on 'hunches'. I tend to make 'hunching' an opposed role if the NPC is actively trying to hide something, and generally, once a PC fails against the NPC's bluff once, they don't get better information for 24 hours or so no matter how many times they ask for it: again, unless the NPC flat out lies. Note that I don't mean to suggest that sense motive can't pick up on the fact that someone is hiding something, merely that I consider that part of the 'hunch' and not part of the automatic opposed role.
So, after a lot of words, I basically agree with Croathian.
