In Britain, we have a thing called the "Telephone Preference Scheme". People can register phone and fax numbers, and telemarketers must take effective steps to block these numbers from being called. Making a cold call to a TPS number is illegal, and companies can be fined up to 500,000 UK pounds for ignoring the TPS listing either deliberately or because of slack procedures. This sounds very much like the US "Don't call" list. Most EU countries have similar schemes.
The only problem is, and this applies to all of them, is that calls originating outside the country are not covered. India, Pakistan, and the Philippines are among the countries where most cold-calling centers are located, and they can operate in complete immunity.
Posts on forums that I have seen suggest that a popular sport is to pretend to be taken in and keep the caller talking as long as possible, finally informing them that they have wasted the last 20 or whatever minutes. It can be very funny to hear them swearing. The only problem with that is the fact that you have wasted the same amount of your own time.