They usually hang up on me.  I tried several variations, but ended up with a very simple and effective routine.

I say "Have I given you permission to ring me up?" and explain that I have joined the telephone preference service - the UK version of a no call register.

That's their opportunity to say "Yes" if they are someone I have given permission to.

I find the cold callers just ring up at that point. Most times they don't even resond to me - they say their spiel, I say "Have I given you permission to ring me up?" - "Click" - they put the phone down and don't even reply.

I try to get in "please take me off your lists" but they usually don't give me enough time for that.

I used to get several such calls a week. I haven't had any now for several weeks.

As the others say here, they have no interest in continuing the call if you make it absolutely clear that you aren't interested. And most of them will just hang up immediately without saying anything, in what would be very rude behaviour in normal circumstances - as soon as they feel there is no chance of a sale. I''d be interested to know why they do this if anyone knows. After all they can spend many minutes on the phone normally - do they really need to save the few seconds it would take to say "okay, sorry to have bothered you" or whatever?

Interested in the other solutions here also :).

The main advantage of doing it this way rather than e.g. pretending to speak some foreign language on the phone (interesting solution) is that just on the rare off chance that it is a genuine call - say - something you signed up for, and they are ringing up to tell you something you asked to be told - well it is going to be a little embarrassing maybe, but not much. 

I did get one call like that, which I thought was a cold caller but turned out it was a utility company - the genuine one not a scam. I'd actually opted into something, ticked a check box on an online form  saying it was okay to ring me up about new deals from my company - so I then asked them to opt me out and tell me by email only instead of by phone, explaining that  I'm interested to hear about new deals but don't want my day interrupted by a phone call to tell me about it - and then they just took me off their phone up list.