I always entertain them for a few minutes at least. Although I am not religous, and do not respect the views of any religion, I do respect people - so would never be intentionally rude to them.
Every time I insist that they actually identify themselves as a JW though, as they never come out with it voluntarily. accusing them of being from Greenpeace often works.
I always take their literature and promise to read it. which I do. And on one occasion I apologised to a man named steve who came knocking at my door - as my views would ultimately lead to me insulting him and his religion I did not want to enter too serious a debate.
He gave me a leaflet about how being a JW would save the world
I gave him a copy of "The God Delusion" and made him promise he would at least read the first few chapters.
I seriously hope he did, I read all of his little book - so it's only fair!