If you pull someone's leg, you tease them or play a joke, but not badly.

It has its origins in the criminal world of 18th and 19th century London. In those days street robbers often worked in gangs of two. One would trip up the unsuspecting victim and the other would remove his money and other valuables while he was lying on the ground. The robber didn’t literally pull the victim’s leg but caused him to stumble and fall and then lose his valuables.

(Two students on their way to Bloomsbury)

Jack: (Looking serious) Shame about the IELTS exam being cancelled today!

Jill: (Looking shocked) What do you mean 'cancelled'?

Jack: The school has cancelled the IELTS exam because the teachers have gone to the park to sunbathe and have a picnic.

Jill: (Getting angry) What!!!! Do you know how hard I've worked for this? Do you know how much money I've spent!!!!? God, it makes me so angry that………

Jack: (Laughing)Take it easy, I'm only pulling your leg, they aren't really in the park. In fact the exam starts in half an hour.

Jill: Don't pull my leg like that, I really believed you!

Jack: You are so easy to tease!!