My strategy is that whatever they are selling - I tell them that I have done it/bought it already: double glazing, PPI claim, accident claim, telephone/media bundle contracts etc etc.
I think all these telesales lists are connected because I have noticed that once I tell one salesperson that I am out of the running then other salespeople stop calling about that particular issue.
It goes without saying that we never even pick up the "International" calls but if we do get somebody from Mumbai or wherever I always ask them about their lives and what the weather's like. They do seem willing to have a bit of a chat but I bet they get paid peanuts.