Usage of a comma for emphasis

If you regard the don't forget as an interjection (therefore not an integral part of the sentence), it is grammatical:

Don't forget, they could be tricking us.

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.:

Don't forget: They could be tricking us.

Perhaps an em-dash:

Don't forget — they could be tricking us.

A comma could be used here, as in the original example, but if feels loose.