The best ones start entirely believable and gradually get taller and taller. That way, the listener wants to believe and they keep telling themselves "well, maybe". It gets so tall, the listener is saying "oh come on" but they don't want to admit they were taken in. Regardless, they all start with "You're not going to believe this, but ...". I got to where I'd tell my stepfather "Yeah, you're right. I'm not." But he'd somehow convince that THIS time was different. Five minutes later, I'm going "Bulls...".