Hung up when my answering machine picked up. If you get a recorded call telling you to press a button to be removed from their call list, don't do it. That only shows them the line is active. They WILL keep calling anyway. Also, when I get these kinds of calls I do a Google search of the phone number, and I am getting skeptical of these sites that won't give much (or any) information for free - BUT IF YOU PAY THEY WILL FIND THE CALLER INFORMATION. Could these "pay for reverse lookup information" sites be making the calls just to create business???
NEVER give any personal information. Don't trust "do not call" sites. If you do take a call from a phishing company and feel like messing with them, give them completely made-up information and waste as much of their time as you can. Make sure that absolutely nothing is true (if they ask for your name and/or phone number they must not have that information handy).