Some schools will actually ask, either in Interview, or in Application itself (i.e. DUKE), which other schools you are applying to...there was some discussion about disclosing this in the Duke thread some time back. I would suggest always be honest. Very few people apply to only one school, and adcom/current students obviously are aware of this.
One area where you may run into some trouble is if you are applying to schools that are very different. For example: if you are applying to Tuck and Booth...and structure your entire Tuck application around why you would fit in a small, rural environment etc...you may not want to tell Tuck you are also applying to Booth, if asked, or at the least be prepared to explain why you are applying to such different schools - otherwise your desire/fit with Tuck could be called into question. That's how I approached it. In four interviews I was never asked this question...but Duke does ask for it in the application.