Three easy methods to end your telemarketing woes:
that don't involve violence, mind games, etc.

First, Find out if your state has a no-call list. Georgia, Oregon, Kentucky, Florida, Tennessee, Pennsylvania*, Kansas, Missouri **, and New York*** have them, and a few others (e.g. Texas) have been considering them in legislature for some time. This is the quickest, cheapest way to get rid of phone solicitors.

I'll use Georgia as an example: Once per quarter, telemarketing companies get a cd in from the Georgia Public Service Commission with a list of numbers not to call. They have to be very meticulous while importing this into their databases, because If they miss any numbers, they can be fined up to $20,000 for each entry they accidentally call. It's relatively cheap to be put on this list (between $5 and $10), and the registration lasts for two years in most cases.
More information is available at:
or 1-888-777-3406 (in Pennsylvania)

Second, There are a number of third-party organizations out there that will periodically compile lists of people who wish not to be called. These lists have very little legal backing, but are usually fairly effective. They tell the telemarketing companies "Hey, this number isn't interested in anything you have to sell... don't waste your time here". Many telemarketing companies subscribe to three or four of these. These can be found at:
1-800-CUT-JUNK. (in Canada)

The last thing you can do is to ask them to remove you from their list. The Federal Trade Commission is fairly strict about enforcing this, and has been known to fine offenders up to $500 per incident. Most telemarketing companies have insurance against such fines, but the insurance requires that all calls be recorded and stored for no less than 7 years. If there's a disagreement concerning whether or not you asked to be removed from the list, chances are good that your conversation is on record...

If they're still pushy after you've asked to be removed from their list, they are in the wrong. Either hang up and report them to the FTC, or play whatever mind games you wish. Keep in mind, though, that contrary to public opinion, these folks can hang up. Usually, it's only the newbies who are overly pushy, but they tend to learn pretty quickly not to waste dialer time.

* - thanks to dmk for the Pennsylvania information.
** - thanks to koreykruse for the Kansas and Missouri information
*** - thanks to Pint for the New York information
See also National Do Not Call Registry - Thanks to jrn for the link.