Of course, sometimes the very act of asking for a roll gives something away, and I've had players that will utterly dismantle an inn because I asked for a perception roll. For those players, I really liked the D&D 4e rule for passive perception checks.
After one particularly spectacular rail-jumping, I have started at least preparing outlines for every red herring I throw because the PCs will invariably chase them, no matter how obvious it is that they're throwaway clues. It doesn't matter how prepared I am, though; the players are always one step ahead of my expectations. In fact, in my most recent game one of them actually approached the police! There was really no reason for him not to, but I've grown so used to PCs with authority figure allergies that my gast was momentarily flabbered.
Bryan Ray, visual effects artist