haha, I've got one that tops them all.
One called one time asking for me and I played a "friend". I told them that so and so wasn't available because they were out back having sex with a cow. The dude on the other end was like, "HUH". I told him again that so and so was out having sex with a cow and I was rather disgusted and leaving. Then, they ended up hanging up on me.
Another called one time and I told them that, "he wasn't home right now but since stalking him I learned that he usually get's home around 5ish." Girl on the end was like, "uh, stalking him?" I said, "yea but I'm not stalking him right now, instead I'm robbing his house and I'm on a very tight schedule." I then hung up after that.
It doesn't matter what you tell them. They'll keep calling. I believe these people have heard it all. Best thing to do, go put yourself on the "Do not call" list. You can get on-line and do it. I haven't had any problems in years. You have to do this with cell-phones too.