Some of these are funny, but I always stick to the truth: "I collect coins". Not to scare anyone, but giving a false statement to tellers could be grounds for a suspicious activity report (http://www.fincen.gov/forms/files/f9022-47_sar-di.pdf). So you might want to be careful, especially if you are doing large volume -- you never know who you are going to piss off.
Off the record, "I bury all these coins in my back yard!"