Here are two pages of links to (mostly government) sites in Canada and the USA where you can report phone scams/spams, or learn more about them.

First, look elsewhere on this site for an Article, entitled "Where to Report Phone Crime".  (It may appear in the column to your right).

For a more frequently updated list of complaint sites, with links to government web pages, look here:
http://phonehelp.2truth.com/complaint_sites.html

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Please reply to this post, to let us know you read it, or have taken suitable actions to protect yourself.

To the right side of this screen, there are links on Where to Report Phone Crime   ---->

I love the part where it threatens a 'grand jury' or 'magistrate'. Who in the world, in America, ever refers to a 'magistrate'? And the part that really convinces me is the end, where the automated caller wishes me, "good luck", if I fail to reply.
So I bit (who wants to go before a 'magistrate'?). I call and the issue is so f6cking critical that no one answers and there is no prompt indicating who or what I am replying too. My life is cluttered enough without crap like this.

But not cluttered enough to stop you from knowingly wasting your time calling them back?

Well in some states there are Magistrates, Pennsylvania (which is actually a Commonwealth and not a state)is one of them.  Also there are Federal Magistrates as well.  But you obviously knew that this was a scam call, and you claim that your life is "cluttered", then why would you take the time to call them back?  I am also guessing that your life is too "cluttered" to take the time to make a report as well?