Register now at the National Do Not Call Registry website and be free of most telemarketing calls starting October 1! If a company violates the rule, you can report them. Telemarketers who violate the rules could be fined up to $11,000.
There are a number of exceptions, though. Main, the registry only covers business calls, and not political or charity calls. It also doesn't cover long-distance phone companies, airlines, banks, and insurance companies. Finally, companies you have a relationship with can call you up to 18 months after your last transaction.
In many cases, though, including that last one, you can still specifically ask the company not to call you again, and they're legally obliged not to.
Update (Jun-29): Long distance phone companies, airlines, and banks were not covered because they fall under the jurisdiction of the FCC, and this list was made by the FTC. However, the FCC just voted to support the list, so those industries will need to heed the list as well. The article makes no mention of insurance companies, but since they are no longer listed in the revised exceptions list, I'm assuming they're no longer excepted as well.