I've said, "Pardon me, my wife and I are in the midst of sex, but we're exhibitionists. Would you mind listening?"
Generally, I go with the "Can you hold on a minute?" and leave the phone alone for a while.
I spent a miserable couple of months working as a telemarketer and those were always my favorites as I could give myself a little break on the clock.
The idea is to cut into the profit margins of the company paying people to call you. With enough effort, it can drive them under.
Same reason I always take as many free Jehovah's Witness / LDS publications as they will give me and recycle them unread. They're already being subsidized by me indirectly by not paying taxes, the least I can do is try to cut into their bottom line.