Been getting several of these calls lately and no voicemails have been left.
And yes, the newer iPhones do allow you to block individual numbers - my old one didn't have the capability (3GS) but the 4 and above models do (I currently have a 4s)
If somebody can't be decent enough to leave a voicemail, I don't return the call. I've had way too many horrid Indian accented people calling me with fake American names making just about every threat under the sun - no more.
Just easier now to search the phone number and see who it is and, if necessary, I can block.