In the private sector, for most government jobs, et al, the phone interview always comes first!! So stop griping, as the phone interview is progress.

A couple of tips to add:
1) An answering machine (or voice mail) is indeed a must, a cell phone with voice mail may be better, but do be sure your message is professional!!!!
2) If you get caught with an unscheduled interview, no matter where you are, say something like "Could you hold a second, I'd like to take notes during this interview and need to grab a pen and paper". Do this even if you have pen and paper with you! Take the time to take a deep breath, compose yourself, And PRAY!