when something really odd is said, or if something impossible to believe is said to have happened
It's not entirely clear if you mean that the thing is a made-up story or that it has actually occurred despite assumptions to the contrary.
For the former:
"Pull the other one!" (Also, "Pull the other leg," and sometimes ending in "it's got bells on.")
used when you do not believe what someone has just said:
Helen, mountain climbing? Pull the other one - she can't even climb a ladder without feeling sick!
For the latter:
"Truth is stranger than fiction."
said when you want to emphasize that real events or things are sometimes stranger than imaginary ones
I know it sounds unbelievable, but truth is sometimes stranger than fiction.