You can try the Seinfeld line and tell them "can I call you at home" or what's actually a smart thing is you got to tell them "Can you put this number on your don't call list"? The key is to register your number into one of those Do-Not-Call lists, and since most telemarketing calls are either monitored or recorded, you having asked for that or already registered, could make the Telemarketing company liable under the Telephone Consumer Protection Act. You can get like 1000 bucks for compensation. I bet that morning would be quite better than.

If you live in the land where everyone sues everyone (USA) - than by all means, use that to YOUR advantage. Don't let the buggers get to you...
The Boiler Room newspaper subsription was funny one as well if your remember. But yeah, tell them to add your number on their don't call list, and you'll be fine. AFAIK, only works in US. Good luck.