It's not nice to lie, but it's also not nice to get repeatedly called at dinner time by someone trying to flog you a mobile phone or pretending that you're a Telstra customer when you're not. If the Do Not Call list isn't quite cutting it for you, giving a false name is one way of potentially scaring off telemarketers -- or at least making them easier to detect.
The Lists and Notes blog outlines the technique, which essentially involves giving a false name for the person in the household or office who can make a decision related to that product. Not only does that make pursuing the current call pointless, it also gives you a flag if someone rings up and asks for the same name in future -- you'll know it's a telemarketer straight away:
This won't appeal to everyone. I loathe talking to telemarketers, so as soon as I work out that's what's happening, I hang up without further interaction. But if you lack my ability to ignore all normally accepted manners, or just fancy being a little playful, it's a strategy worth considering.