Well, it's still a job, and some people do actually have to take that job because they can't find anything else, especially with the economy being down recently. It's alright to just hang up on them, or even to say, "You guys get on my nerves when you call while I'm [insert thing here]," but please, if you consider yourself a decent individual, don't get yell at them, insult them, or give them a hard time. Sure, you might be angry, but there's no reason to make their life hard. I think movies and stories have shown us that revenge is seldom beneficial, so just be nice, and simply hang up.
Or, you can ask for them to give you some information about who they're calling for, then ask to be put on the 'do not call' list. Then, if they do call you again, you can take some legal action. But you can't do this if you get angry at the person calling.
Be a good person, and don't hate telemarketers; ignore them.