I actually look forward to the calls (although I must not receive as many as some of you seem to). Free entertainment! Amuse yourself at their expense; you've got the captive audience. Get a stopwatch and see how long you can keep a telemarketer on the phone. Try to beat your old record in each category: credit card, phone company, vinyl siding/windows, etc. Basically, try to be one of the jerky boys, except someone else does the calling to you. Ask the stupidest questions you can think of. "What are the dimensions of the credit card? I received one of them there new Master Visas and it doesn't fit in my wallet. Is it thin enough to go through the swiper machine at the grocery store?" Etc.
I once helped a girl at one of the phone companies get set up on Dialpad (or one of those sites) back when it was free for long distance. And, if you don't have the time, or just aren't in the mood, simply say no thanks, and hang up.
[edit] maybe this is why I don't receive that many phone calls.
[edit edit] answer the sat morning knock on the door, pushing the religion, house call in your underwear, offer to have them come in and have a beer while explaining. Quickly,"here's a brochure, have a nice day." They haven't been back either.