Depending upon my mood I quite like 'playing with the cold callers' it can be a good stress reliever at the end of the day ... my favourite is :
Caller: "Hello, can I speak to Mr Bruce C please"
Me : "Hello, its Inspector Jones of Wrexham CID here, can I ask your relationship to the deceased."
Caller (generally if they're still on the line): "errr errr errrr, we don't know him etc."
Me: "Well I'm afraid we're going to have to take your details and ask you to report to your nearest police station as a material witness I'm afraid, as you are the first person to ring following the incident so we near to ensure you'r not a party."
this can then go on for ages .. its best with Indian call centres as they just don't get it and go in to real panic.
Other favourites are; just saying random words in answer to every question until they give up, start getting really really creepily friendly with them and inviting them out for drinks and holidays together, and trying to sell them random household items.