Depending on what the call is about, I usually try to humor them as much as possible, even though it does irritate me, because I know that they're just trying to do their job. The ones that really irritate me are those who are EXTREMELY pushy and refuse to take "no" for an answer.
I can still remember someone calling me many, many, many years ago asking for a donation for something or other. Even though I feel guilty at times, I very rarely ever donate to people that call me asking for it. She started out at about $50 and was trying to negotiate with me even after I politely refused. This girl kept hounding me and I finally explained to her that it wasn't in my budget at the moment (it really wasn't). She actually got really snotty and made a comment that was something to the effect of, "You mean to tell me that you make so little money that you can't even afford to donate $10!?!?" I don't think I've donated a red cent since unless it was something very local and I knew the person asking for a donation (well, except for that really cute cop that showed up selling sauces for the Policeman's Ball...lol).
I do plan on doing some direct mailing at least when I first start out, but I don't think that I'll do follow-up calls unless I get a response back. For one, even though I sent out a mailing, it is still a cold call in my eyes. A warm lead is one where someone shows an interest even if it's very minimal (sending a postcard back with interest, a mutual acquaintance telling me I should call so-and-so because they've expressed a need, etc.), not just following up on something I sent unsolicited. One reason is that there is a HUGE chance you probably will end up reaching a receptionist or assistant, so you're definitely not going to get past them unless you lie which isn't very professional and, also, I just don't feel comfortable doing cold calls.
As an assistant, I open all incoming mail including what is specifically addressed to my boss. If anything seems like junk mail, I just throw it out. So she probably wasn't lying. Not that it's junk mail, but if I came across something that was basically offering the services I was hired to do, you can be darned sure that it won't hit my boss's desk...lol
Just my 2 cents worth