My wife thinks I'm nuts, but I'm another one of the crowd that likes to mess with telemarketers.
If it's a re-finance company, I love trying to engage the phone jockeys in serious financial discussions, asking their opinions on market fluctuations and impacts. It's pretty amusing since they don't know what to say if it's not on their script card.
Most of the time, I just say nothing and hang up immediately, but every once in a while I get a spark of nastiness. Recently, while waiting for the telemarketer to take a breath, I screamed that I had just cut my finger off and needed them to tell me what to do. After a minute of hysterics, I just hung up.