It is grammatically acceptable to say the following?
Don't forget, they could be tricking us.
If you regard the don't forget as an interjection (therefore not an integral part of the sentence), it is grammatical:
Note that in order for it to be acceptable, the part after the comma must be a complete sentence by itself (they could be tricking us). In a sentence like Don't forget your book, in which your book is not a sentence by itself, there should never be a comma (*Don't forget, your book).
I'd prefer a colon here, e.g.:
Perhaps an em-dash:
A comma could be used here, as in the original example, but if feels loose.