On a cold call, don't leave a voicemail and put the phone number back in the dialer queue. Leaving a voicemail allows the recipient to jump to conclusions about you and puts you at a disadvantage. You want to catch him live and have a shot at engaging him. I used to leave voicemails in the past and I think the response rate was less than 1%. I decided to save my vocal chords for actual conversations.

Now if you're responding to a legitimate inquiry from the business owner, then it's okay to leave a voicemail identifying yourself and the purpose of the call.