No, you never give out a number. It's like asking the person sitting across from you to show you their cards before placing a bet.
If a company is willing to pay $100K and you throw out a number, say $80K for example, then how much are you out?
If your first thought is $20K, then you'd probably be wrong. You would be correct if you stayed only one year with the company. However, every year you're with the company you're out another $20K not to mention any salary bumps or profit share that is a percentage of your salary, etc... After 5 years, you're out $100K.
You never give out your number.
When you are asked, "what's it going to take", you should always answer with something like: you're most competitive offer. I don't feel this is rude at all.
I usually recap how key points from the interview. Come back with how you believe you would add value to X and would love to work on Y and that your best competitive offer would get the ball rolling.
Your job is to find out the maximum a prospective employer is willing to pay. Likewise, a prospective employer is attempting to get the best bang for their buck.
Never show your hand. I've interviewed probably 15-20 times in my career and have never strayed from this course. Now I'm a business owner. I've interviewed 100s of people over the years and it never ceases to amaze me how many candidates flat out give me a number when I ask.
Head hunters are pain in the ass to deal with. They insist on knowing where you're at because they don't want you wasting their time. Well, tough shit! Head hunters need to figure out what the going rates are for whatever it is they are seeking candidates for. A good head hunter will let you negotiate for yourself.