Go X-directory as you change your phone number.
If in UK register with the preferential phone service.
Do not use your phone number on any communications other than those you trust. (Most internet websites will sell your details).
Warn the sales agent that you are TPS registered and unsolicited calling your phone can cost their company up to a £5000 fine.
Say firmly three times NO! To the agent. (some sales companies will only stop the call after hearing no to their product three times).
Request where salesman got the details for the call came from. (especially if he is quoting personal information to you).
Tell the Salesman that "all phone calls to this number are recorded" and record them if you can, it may ensure that they follow the rules if they think they are being recorded.
Complete the sales phone call by specifying that you do not want any further calls from them or associates and that you details are not be sold on third parties. (It wont make a lot of difference but should the company end up in court you can join a class action suite against them as most calls are recorded).
When you are asked "For security purposes, we need to verify your identity before we can continue" (My favourite!),
Try this reply "For security purposes I do not know that you are or who you say you are, please provide me with an independently verifiable phone number for your head office with which I can call you back should I decided to continue this conversation".(This one kills scam artists dead in the water, they will never give you a real phone number to call back on, but on the off-chance if they do check the phone number on the internet or phone their head office).
Carefully read the privacy details of companies you are providing with personal information. Many will state "We only share information with sister companies". Which is true, right up until they sell the company to a third person which then gives them the right to change the contract without notice to you.
Finally, many illegitimate sales companies in UK and abroad simply randomly ring phone numbers. there isn't much you can do to prevent this type of sales attack except notify your phone company and hope that they block them.