Never call them back. Call them down on their scam and you'll get nothing but abuse and some of them call you over and over again out of spite. Also, they like to pick on women, single mothers, the elderly and members of the immigrant community. These calls are not random, they know you r financial information and some personal information. It's important that you do not talk to them, because if they sense any vulnerability on your part they will hammer you with calls. The male callers are also sexually abusive.
Report them here: .http://www.irs.gov/uac/Newsroom/IRS-Reiterate ... -Telephone-Scam
The calls originate in India. As such the scammer/extortionists are beyond the reach of US law. Call blocker is your best bet and do not pick up on calls you do not recognize.