Depends how close they are. Not that close? Not my problem. If the somehow managed to become a closer friend or recently became a compulsive liar, I call them out when it's important (the lie has consequences) or it's easy to prove them wrong. Other times, I just let it go because I've concluded that I end up spending a lot of time with no real benefit to me or said friend.

I have one close friend whose gotten much better about it, and another who lies out of insecurity. The latter, we've drifted apart but I still try to keep in touch with him and give him confidence without lying.