I screw with these guys almost every time they call, but I try my best not to let on that I'm screwing with them. I usually get off the phone by making an excuse like "my battery is dying" or I hang up mid-sentence so they think the call dropped. That way I don't get taken off their lists.
Anyway, I will occasionally tell them that I have a Macintosh computer, which results in one of a couple responses:
1) Often, the person calling has no idea what I'm talking about and continues to instruct me to click the Start Menu. Obviously the people making these calls aren't computer savvy; they're just reading from a script, trying to earn a living.
2) They hang up without saying anything. I mean, why waste the time, right?
The other day, I got a surprise though. The caller instructed me to open Finder, then click on Go in the menu bar and select Utilities. From there, he had me launch Console and explained that these were all system errors and started toward having me visit a LogMeIn Rescue support domain (can't remember which one).
I was totally unprepared. Normally I run them around the mill in the process of faux-launching Event Viewer on Windows, but on the Mac, I just rolled right through the instructions. I ended up just hanging up on the caller, but it's clear that at least some of them are targeting Mac users as well now.