I already partly explained my own experience in another comment on LW, but I'll give a bit more of details there.
The first point I've to emphasis on is that my parents told me a slightly different version of the usual Santa Claus story : they didn't include the "only nice children have presents" part. They told me it was part of the standard version, but they told me that was just said to make children behave, that I would have presents even if I misbehaved, but that I still should be a nice boy, not for having presents, but because being nice is worthy in itself.
The rest of story was told on my comment on A Rationalist's Tale which I copy-paste here since it's short enough : « Since I'm born in an atheist family and never believed in God, I lack any similar experience, and somehow, I regret it, because that experience must definitely be of a great help to change your mind about other topics. The closest experience I have to this is the Santa Claus thing, but I was such a young child that I only have confuse memory about how I started to doubt. But the process looks similar : there is nice Santa Claus person that gives me present, I start to doubt it's real and feel bad because I don't want the "magic of chirstmas" to go away, and then I realize that it's something even more "magical" than elves and flying Santa Claus going faster than light : it's the love of my parents, who spent days going from shop to shop to find the silly present I asked for in my letter to Santa Claus that the teacher gave them... it has the three phases : belief in something supernatural that makes you happy, doubt and feeling sad, and then realizing that reality makes you even more happy. But it's so lost in the mist of early childhood that it doesn't have the potency you describe. »
To conclude, I tend to think it had much more positive effects than negative effects to me, giving me an experience of rejecting previous beliefs, in a way that did no harm. But I've to insist on the "contraint-less" version of Santa Claus I was given. The version with threats (if you're not nice, Santa won't give you presents) sounds much more dangerous, because it can lead to thoughts like "oh well, since Santa doesn't exist, I don't have to be nice anymore" or "well, this Santa story was a conspiracy of adults to keep children quiet", which indeed can lead to conspiracy theorists later on. The key of the version I was told, which allow it to be efficient without much side-effects, is that it wasn't used as way to try to coerce me into a behavior.
I've long entertained a dubious regard for the practice of lying to children about the existence of Santa Claus. Parents might claim that it serves to make children's lives more magical and exciting, but as a general rule, children are adequately equipped to create fantasies of their own without their parents' intervention. The two reasons I suspect rest at the bottom line are adherence to tradition, and finding it cute to see one's children believing ridiculous things.
Personally, I considered this to be a rather indecent way to treat one's own children, and have sometimes wondered whether a large proportion of conspiracy theorists owe their origins to the realization that practically all the adults in the country really are conspiring to deceive children for no tangible benefit. However, since I began frequenting this site, I've been exposed to the alternate viewpoint that this realization may be good for developing rationalists, because it provides children with the experience of discovering that they hold beliefs which are wrong and absurd, and that they must reject them.
So, how did the Santa deception affect you personally? How do you think your life might have been different without it? If your parents didn't do it to you, what are your impressions on the experience of not being lied to when most other children are?
Also, I promise to upvote anyone who links to an easy to register for community of conspiracy theorists where they would not be averse to being asked the same question.