I don't think it did affect me in any noticeable way. I ended up becoming an atheist, but I don't remember Santa having anything to do with it. My brother, who had the same Santa experiences, is still religious.

Did it make me trust my parents less? Not really, though that might just be because my parents were so transparent about it. In our house, it was always more like, "Of course Santa is real, wink wink" then a real deception. (Still didn't figure it out till I was six, though..)