the lack of emotional response to any stimulus backed up by his own statement that this is an ongoing trait that he has had all his life would suggest that he may be a psychopath.
please note - psychopath does not mean murderer. it is simply a term for a person lacking in emotion/empathic response. have you ever known him to cry through either joy or sorrow? be it at a personal life event or something as little as a movie.
the lying and cheating are also symptomatic of this as they point to a disassociation of feeling.
the not holding down a job thing could be as simple as he sees no point in having to work if you are prepared to support him, as he feels no guilt - as proven by the lying and cheating.
my advice... seek proper medical/psychological help. NOW.
although if he IS a true psychopath it is not his fault, you do not have to put up with behaviour such as this.