Hang up immediately - don't get drawn into a conversation with the caller or give him your name.
In the UK if you are often bothered by calls, ring 0800 666700 for a recorded advice message or BT Customer Liaison. You should also report the calls to the police.
If you have an answering machine, switch it on.
If calls persist, change your phone number (at a small cost), go ex-directory or arrange for a call diversion with the telephone company - this means that they take the calls.