I used to do that until I started dating my Wife. In college she worked for a firm that had to call insurance recipients on behalf of their insurance firm and ask them questions. It helped me realize that these are just people doing their jobs, and that by being rude/mean to them, you're preaching to the choir.
That having been said, if I tell them politely no thank you several times (and I am not above butting into their incessant initial chatter) and they insist, I hang up.
Me: "No thanks, I'm not interested"
Me: "I've already got cable modem, thanks."
Oh, and has anyone seen those things on TV where it supposedly hooks up to your phone and "erases" your phone number from the central server by sending a signal to the telemarketers? Is this for real or (as I suspect) a crock of shit? I mean, one look at the befuddled telemarketer and you've probably got a product on the same level as those electroshock devices the FDA won't let them market anymore.