I have a way of being polite and not dealing with them at the same time.

If it's a telemarketer and they have my name, I just do this:

Telemarketer: Hi, may I speak with Stephanie please?
Stephanie (me): I'm sorry, she's not in right now, may I take a message?

When I ask to take a message, they usually just mumble something and hang up. Now, if it is one of my bills (if I paid a bill late), then they will leave a number and I can call them back.

I actually got caught only once doing this and it was my cable company (I had paid the bill late and it hadn't shown up in their system yet). I then admitted that it really was me and the woman laughed and thanked me for handling the phone call in such a nice way. Actually said she was going to start doing that at her own house.....LOL