It's a strange feeling to stop and consider that you lie for a living.
Magic is make believe, but there's something that separates it from other forms of pretend, like watching a movie or a play. In a movie, you can get swept away in emotion and feel that you're watching the real-time reactions of real people (who just happen to be reading from a script all the way through.) But in magic, emotion isn't enough; I need to bring my audience on intellectually. They need to know what they're seeing and know that it can't happen. The lie is more real.
Seeing a behind the scenes look watching your favourite Stark Trek alien getting into makeup doesn't detract from your enjoyment of Star Trek. But watching a magic show set up and seeing where all of the bits and pieces secretly went would seriously undermine your experience.
If I were trying to be absolutely intellectually honest, and admit that lying is wrong, it's not easy to defend my particular brand of lying.
One person who thought about this a lot is the famed magician and skeptic (and Canadian) James Randi. He was recently interviewed on the podcast of Penn Jillette (who has also thought deeply about this). They chat about this and other things for the better part of an hour. Gave me an intellectually satisfying warm fuzzy feeling: