One of my co-workers always asks the telemarketers for their home phone number so he can call them back later.
I have cell phone with caller ID, so I don't pick it up if it's not someone I want to talk to. When I had a land line and got a telemarketer asking for me, I'd say "Hang on a sec, let me get him.." and just put the phone down and go back to what I was doing.