I'll mess with the scam caller every now and then. My favorite is the "your social security number has been suspended due to suspicious activity, the police are on their way to arrest you".
Me: Oh my, that sounds serious...
Scammer: It IS serious!
Me: Which address did you send them to? My address in Malibu? My address in the Hamptons (next to JW)? My address in Palm Beach?
Scammer: They've been sent to your location!
Me: Do you think they would like a cold beverage when they arrive?
If the scammer hasn't gone off on a cussing tirade by this point, usually referring to him as "Rajesh" or "Habib" often does the trick.

Sorry I couldn't muster the East Indian accent in my post...