There are several things you can say to them that will entertain you and
probably scare the fertilizer out of them.
Them: Hello, Mr. Graham?
me: Who is this calling?
Them: This is Jerry from want-a-widget company
me: Jerry, this is lieutenant O'Riley from the state police, Mr. Graham is under investigation for murder, we must insist that anyone who has called him or has reason to call him submit to questioning at the local police station. A police cruiser will be there to pick you up within 15 minutes. If you leave, you will be arrested for unlawful flight to avoid interrogation.
Note, it is illegal to impersonate a police officer, yet, sometimes, one must do what one must do.
Here's one I did back when I was single.
Them: Is the lady of the house in? me: [very slowly] Yes, she is. them: May I speak to her? me: I'm sorry, she is occupied, we're making love just now. them: [horrified female voice] Oh, my God, I'm sorry, Oh my God, goodbye...
I laughed for a week after that one.