Don't lie. You should actually say what your weakness is. You should pick something that's a skill you don't have (but could learn) instead of a personality flaw (which hopefully you don't have). You should then explain what you've done so far to improve it and how you will continue to improve it in the future.
I said that my weakness was that when I first arrived at my internship last summer I wasn't as quick at Excel as I would have liked to be. When I was given Excel based assignments I took a small amount of time to lookup shortcuts online or ask the my coworkers for tips. I set a goal which was to be able to complete my daily and weekly Excel-based assignments without using my computer mouse. By the end of the summer, I accomplished this goal and was able to complete my work much faster than at first. I have also enrolled in a spreadsheet modeling class and a VBA class so I can continue to improve my Excel skills.
The interviewer takes away that this is a candidate who is willing to admit his weakness, sets goals to improve, can achieve them, is willing to ask for help when he needs it, and will be an Excel master by the time he starts working here.