This is why I love living in the UK. Unlike you poor Americans, it's illegal for companies to sell personal details such as phone numbers to 3rd parties without express permission. They're not allowed to store them without your permission either, even if they found the information publicly available somewhere (eg phone book).
Well, it is illegal if they tell you they wont, we also have no call lists and its illegal to call someone who is on it.
Also, only morons give out contact info to shady "companies" who dont guarantee privacy of information. (Always read the fine print before giving contact info if you are unsure of the place asking)
Anyway- I sign up for the no call list and havent had a telemarketer or anything ring my house in years and years.
When they call, its best to act super interested and waste all their time then at the last minute tell them you decided against it and to take you off their list (thus making it illegal to call again) Then, by wasting their time you make them forfeit other cold calls on which they may have made a commission on.