They don't call ahead and it is a criminal trying to scare you into paying them extortion money. The idea is for you to call up this other number and they then convince you that for a few hundred dollars or whatever they can talk you into you can make these papers "go away". Then after you have paid they sell your name to all their criminal buddies as an easy mark.
Federal law (FDCPA) requires them to send you a letter (US MAIL ONLY) within 5 days of their first contact that contains their name, physical address, the creditor’s name, and the amount of the alleged debt. It also must contains “mini-Miranda” telling you that it is an attempt to collect a debt and that all information will be used for those purposes. The one other important thing that this letter must also have in it is that you have a right to dispute the debt within 30 days of receipt of the letter and if you do so, all collection activity must be stopped until the debt is verified.
Read up on your rights here, get template letters to send and also make a complaint at this government site: http://www.consumerfinance.gov/
Also file a complaint with your State Attorney General's office.
List of State AG’s offices: http://consumerfraudreporting.org/stateattorneygenerallist.php
I certainly wouldn't have altered my life. As I said this is a criminal attempt at extortion. No process server calls you ahead of time, but if you are unsure, call the clerk of courts tomorrow and ask them if there is a docket with your name on it. Ask them what the rules of service are. Private process servers might not even be allowed. Use your time tonight to read up on how debt collection works. I gave you the ability to educate yourself so that you don't become a victim of a crime. Use it.