Bobby Jones was one of the early founders of American golf. He built the Augusta National where the Masters Tournament is played. He was also a man of great integrity.
One day Bobby was addressing a ball in the rough. His club touched a twig which caused his ball to move ever so slightly. He turned to his caddy and said, "That will cost me one stroke." The caddy responded, "That will not be necessary. I did not see the ball move and I'm sure no one else saw it move either." Mr. Jones answered, "But I saw it move and I have to live with me."
That's the best reason to live in integrity and to always do the right thing that I've ever heard: because you know what the right thing to do is and you have to live with you.
Never violate your own integrity. It doesn't matter whether anybody else knows about it or not. You know about it and you have to live with you.