I got a call that started with the usual automated message, "This call is being recorded." After the person joined, I pushed the record button on my iPhone, "This call is being recorded."
They were surprised and asked why I'm recording.
I said, "You're recording, so I'm recording too."
The rep insisted that the company doesn't like this but that they will continue with the call anyway.
Anyway, I wish people took this stuff much more seriously. It always seems to boil down to, "I don't have anything to hide" type of conversations and I've never managed to convince anyone that privacy as a concept isn't about having something to hide.