When you're sly, you're crafty, cunning, tricky, and wily. Being sly is being deceitful, though not in the worst way.
If you're good at lying, you're quite sly: people who are sly are good at pulling one over on other people. Being sly helps you get away with things. If you made a mess in your house but got your parents to blame the dog, that was sly. Being sly means you're not being honest, but this word has kind of a harmless flavor to it. Someone who killed someone and lied about it would not be described as sly. Slyness has to do with smaller, sneakier, more harmless kinds of lying.