Personally, I think that ones audience wants to believe in magic. I don't ever say that I have "powers" or indeed that I don't have "powers", I let my audience decide.
I also think a lot depends on your persona, i.e. if you project yourself as a mysterious, dark, serious sort of person, you are encouraging your audience to believe you are indeed a man of power. Personally, I am a bit on the humorous side, so making someone believe I actually bent that spoon with my mind is harder.
So to sum up, just entertain, enjoy what you do, and let them decide.
Christo
Just thought that I give my thoughts on this, as I believe this is a very interesting and good topic.
I completely agree with 'Christo' in his above quote. I let my audience decide wether they were "fooled", or if I do in fact, "have powers".
My persona IS mysterious and serious, so after I perform, my audience is left with the impression that what they experienced and witnessed was 'real', rather then me trying to trick them.