J.S.
I've had friends like this and have a friend and some family like this. I simply don't act impressed and I don't ask any questions or get involved in what they're trying to "sell" me. Some people think that they have to have big, impressive tales and plans for people to like them. They try to fit into what they think the person they're talking to would like and want in a friend.
I've learned to tell the difference in their tall tales and exaggerations versus the truth, so I change how I respond to each. The truth gets a much more animated and positive response than tall tales and exaggerations. It gets much more support . If I think something is clearly a falsehood or exaggeration, I adopt my "mom voice" and a bored facial expression and look for other things to do.
It does work. It works much better than calling them out because it saves everyone some embarrassment and hard feelings.