Are you talking about companies that don't leave a message on your answering machine? I use my machine to screen my calls. If they don't leave a message, screw 'em.
Check here for info on reporting the scumbags. https://complaints.donotcall.gov/complaint/complaintcheck.aspx
Who can legally call you? http://www.consumer.ftc.gov/articles/0108-national-do-not-call-registry#calls
Can we assume that you are on the "do not call" list?
EDIT: The fine is $16,000 per call if you are on the DNC list. In order for the government to do something, you MUST MAKE A COMPLAINT.