I like to play games with them. Anyone gotten the IRS scam? They threatened to send a police officer to my house by the time I got home from work. I advised them that I would be ready to meet him there. They were confused by the response, and asked if I was sure. Told them the call was being recorded by the FBI for other reasons, and suddenly the call ended.
For things like Dish and Utilities, tell them you would first like to authenticate them by starting a conference call with the first line of CS and if all is well, you'll be happy to release the information. They tend to hang up then as well. Basically the first threat back to them of any actual verification will usually have them hang up pretty quickly and remove your number.
I am still waiting for the Microsoft call so I can reverse the mirror and start deleting their files. I'm saddened I have not had the chance to do that yet.