Tell them you've got another call coming in, can they hold on a minute? They say yes, press the mute or hold button, come back 5 minutes later, talk for a sec pretending to be interested, oh wait, hang on a second... Repeat ad nauseum. I once held a telemarketer up like this for over 15 minutes! Went to the bathroom, changed the baby, talked with my wife, etc. Eventually I just went back and hung up.
They waste their long distance bill, plus they're not bothering other people. And I got a great deal of satisfaction