I say I am busy and ask them for their name and phone number so that I can call them back. When they say they cannot give me their number, I reply "Why not, don't you like people calling you at inconvenient times?"
If they do give me their number I report them for calling a number registered with the 'Telephone Preference Service' (in the UK this makes it illegal for anyone to make unsolicited calls to registered numbers)
I have a work colleague who will lead them on; for example, he had someone trying to sell him a conservatory. He said he would love a conservatory and arranged for a sales representative to visit him. The sales rep arrived at the appointed time, only to discover that my colleague lived in a third floor apartment.