Yes, caller ID is a huge help here in Canada (as someone already mentioned, there's no Do Not Call registry yet). But if I do accidentally pick up the phone, the conversation goes like this:
Them: Hi, is this Mme X?
Me: Who is calling please? (Not confirming who I am.)
Them: I'm Joe Smith from XYZ Co.
Me: Sorry, not interested. *hang up*
"Sorry, not interested" is a complete sentence, quite equivalent to "Goodbye". You don't owe them any more time or civility than that, since you didn't ask for them to call you. (And if you *did* request the call, you can be sure that it will be the first thing that they say.)
If it's a charitable solicitation ("Hi, I'm Joe Smith from XYZ Charity") the response is "Sorry, I don't give in response to telephone solicitations." (I DO give in response to mail solicitations from charities I've already donated to.)
NEVER give out personal information to strangers. "I'm not interested in an improved mortgage rate, I paid off my mortgage", "I already have an alarm system," etc. They're not entitled to know anything about your credit situation, home security, etc. And they could actually be fishing to see if your identity is worth stealing, what kind of home security you have, etc.
The one that really gets me is when I get a phone call from someone claiming to be an alarm company rep who wants to come to my home and give me a security analysis. RUN AWAY!!!