I used to say things sometimes, but then figured with phone memory somebody could figure out what number they really dialed and who I was. Sometimes when somebody calls my number by mistake and asks for a girl, I might say something suggestive like, "she can't talk right now - she's got something in her mouth" and hang up. Or "she's getting dressed right now, can I have her call you back"? And if they say "What???" I just say "oops, gotta go" and hang up.
I remember once when I was a kid, I had an Apple 2 and a program that could do sound effects over my modem. So I'd call somebody and play these sound effects. It could be synthesised voice (and this was old-school voice emulation that you could hardly understand) or did various types of phone sounds: ringing, touch tones, busy signals, etc. We thought that was funny. Have a computer call somebody. We had a speaker (no mic) hooked up so we could hear it all. The computer could dial through the modem and then we could have it do the sound effects when somebody answered.
One day we decided to prank one of the sisters in the hall that was kind of annoying. As soon as she answered, we had the modem start playing a ringing sound identical to the one you hear when you're calling somebody. So, she hears her phone ring, answers, and is immediately treated to a ringing sound as if she's calling somebody (and this was years before telemarketing calls that do the same). Meanwhile, my dad who was asleep in the living room hears the ringing sound coming from the speaker in my room and thinks it's the phone and rushes to answer it. He picks up and now my dad's on the phone with this woman and we stop the ringing sound. I don't think they recognized each other's voices, but they started arguing with each other about who called who. After deciding it was some sort of wierd mix-up and hanging up, my dad comes into my room to ask whether I was screwing around with the phone. By that time, we had turned off the monitor and pretended like we were doing something else.