I had one yesterday. Initially I just politely said "No thanks, not interested" and put the phone down.
The guy then phoned back and hurled abuse at me. Clearly he had been learning a few choice English swear words. "Excellent", I reply, "The early morning abuse line. This is more like it."
I confused him by being mega polite and laughing a lot. He seemed happy he was wasting my time... until I pointed out he was on speakerphone and I was carrying on with my work.
It did get a little weird as he was asking if I had the mobile phone numbers of any women he could have. I could hear the call centre behind him, he said there was a thousand of them in the room! Sounded like it!
I never did find out what he actually wanted as he seemed to have forgotten about his script. Only thing that disappointed me is he hung up just before I had selected some music for him. I had just found some rather nice abusive extreme punk music to play him, but he hung up.
You have to play with these people. Free entertainment. I see it as doing a service for the community as the longer I talk to him, the less he is scamming someone else.