I always ask them to remove me from their list. I then let them know that I am on the "no call list" (which is usually untrue, as only certain states I've lived in have them, but it's quite scary for them, and they likely *will* remove you). Finally, I let them know that the Gramm Leach Bliley Financial Remodernization Act prohibits them from sharing any of my personal information with any other company, whether affiliated with them or not. This is also an unfairly expansive reading of the law, but they usually leave me alone soon thereafter.
I have followed this pattern for about 1 1/2 years now. Now, I get less than one a night.