My preferred methods:
1) If the telemarketer is a woman, tell her you will buy, but only if she talks dirty to you. I have yet to have one take me up on that offer, and even if one did, she has probably then violated some law. I suppose you could use this one with a male telemarketer as well, but that just isn't my thing (not that there's anything wrong with that).
2) If the caller tells me that the call may be recorded for blah blah whatever, I will usually inform him/her that I refuse to authorize the call to be recorded, and that recording a call without the consent of the other party is against state law - provided the call is from or to one of the following states:
California
Connecticut
Florida
Illinois
Maryland
Massachusetts
Michigan
Montana
Nevada
New Hampshire
Pennsylvania
Washington
If you live in one of the other 38 states that allows calls to be recorded with the consent of only one party, I suggest you move or write your Congressman.
Also, 1) above is much more fun than 2)... but that was probably obvious.