We tell the telemarketer that we do/have/sell whatever it is they are selling. Cemetery lots, magazines, light bulbs -- whatever. We also will just bark into the automated phone ones. Everytime they ask a question we just bark. I've had them call and asking for my husband. When I say he's not here and they say they will call back when he gets in, my reply is 'why, have you seen him? He skipped outta here months ago!'. They get really flustered. I love having fun w/these ding dongs. If you get a machine that constantly calls, answer whatever questions they ask with the most ridiculous, absurd thing you can possibly think of. If you can say it with a really thick accent, all the better.
Here's some more suggestions I found.
If they say they're John Doe from XYZ company, ask them to spell their name. Then ask them to spell the company name. Then ask them where it is located. Continue asking them personal questions or questions about their company for as long as necessary.
Say "No," over and over. Be sure to vary the sound of each one and keep a rhythmic tempo, even as they are trying to speak. This is most fun if you can do it until they hang up. (a personal favorite!)
If the company cleans carpets, respond: "Can you get out blood? Can you get out goat blood? How about human blood?"
After the telemarketer gives their spiel, ask him / her to marry you. When they get all flustered, tell them that you could not just give your credit card number to a complete stranger.
Tell the telemarketer that you work for the same company, they often can't sell to employees.
Answer the phone. As soon as you realize it is a telemarketer, set the receiver down, shout or scream, "Oh my God!" Then hang up. 
Ask them to repeat everything they say, several times.
Tell them it is dinner time, but ask if they would please hold. Put them on speaker phone while you continue to eat at your leisure. Smack your food loudly and continue with your dinner conversation.
Tell the telemarketer you are "grounded" and ask if they could bring you some beer.
Ask them to fax the information to you, and make up a number.
If they are selling magazines, ask them if they come in Braille.
Tell them to talk VERY SLOWLY, because you want to write EVERY WORD DOWN.
