Then go on to ask who's the best person for you to speak to. Ask when would be the best time to call. Ask when other salespeople usually call, so you can avoid those times. Ask them if you can call in advance to see what the decision-maker's schedule looks like for the day. The receptionist works with everyone in the office, and will often tell you things that no one else will.
Gatekeepers appreciate a little humor in the day.
I'm not with the IRS, I'm not looking for a job, and I'm not going to ask you to switch long-distance companies, I DO want to talk to Mr. Smith. I'd like to speak with Mr. Jenks. Well if you did, it wouldn't be a COLD call, would it. Just tell him he has a cold call waiting for him. The receptionist gets a great laugh, and Ron gets his call put through when she plays along.