An automated message says to call back regarding an important matter and to have your Social Security Number when you call back.  This sounds like a scam.

I just recieved the same message for the Missouri DOR.  Sure sounds like a scam

I had the same message on my phone today.

I received a call from this number twice on my work phone - in Jan and Feb, 2008.
I actually returned the call the first time in January, but told the person I would not give my SSN over the phone.  She confirmed by name/city/state on the phone, which I regretted.  She told me it concerned money due the state, but after I would not give her my SSN she told me she did not know why I was called, and would remove my number from her list.  
I opened a case on-line with the Missouri Attorney General last in January about this, but have not been asked for more information.
I was planning to call the Mo Dept of Revenue today since I the scammer (?) left another message.

I actually called to report this number as a consumer scam to the attorney general Jay Nixon's office. They told me it actually is a legit number for the DOR and there is something questionable about your taxes. They said the DOR outsources a third party company to do the calling, but recommended that if you're more comfortable with calling the "real" DOR number to look that up (online or phone book) and continue the call that way.  She said they have had a lot of calls/questions about this number but it is real. Hope this helps!