Proper way to play character cards?
The rules explicitly state [italics mine]: 


  When the name of your character card is called, you must reveal your character card, place it face up in front of you, and take your turn.


If your character has been assassinated, you say nothing and do not acknowledge that you have been assassinated in any way. It will be obvious by the round's end, however, that you did not play a turn and that you were the assassinated character. 

Using the most sensible interpretation of the above rules, it follows that it would be considered cheating to pretend that your character was assassinated when it in fact was not.

Since every character is called in numeric order, there shouldn't be any unplayed characters left in anyone's hands at the end of the round, except of course for the assassinated character.