Ooh - thats scary - I didn't know they like lilies. I have had amazingly little deer damage over the years. I don't have a fence, and my yard has woods on two sides, so deer do wander through, and occasionally munch a hosta early in the year.
I have been adding lots of lilies the past two years, and they haven't touched them yet, but maybe the word just hasn't gotten out.
A fence is near the top of my wish list.