I knew two such guys...
one of them just told such grandiose stories, crazy shit - a different one every other day. He claimed to have about a million different metal problems(in the past

) ...but he was still a good friend. I guess I just humored him, cause he was still fun to hang out with. It was kind of annoying at times though, because when someone lies SO frequently, it's hard to ever tell when they are telling the truth. I lost touch with this guy a few years back.
The other dude was just a straight up pansy. Most people when confronted and caught in a lie, will at least admit it ( at least in my experience) but this dude just kept denying...anyways I am also STILL friends with this dude. Mind you it's much more distant now.
I don't think you can really help a friend like that. even if you ask them about it, they will lie and deny...it's embarrassing you know? I would just take the friendship with a grain of salt. Not take shit too seriously or whatever....but if this person is just an acquaintance or whatever and the lying is annoying you, then just drop the dud.