It really depends on the phone shop. Insurance shops where you are required to get a quote will require your real name and your real social security number because a credit check is part of an insurance quote, so be very wary of these--you don't need the hits on your credit as 5 in a year will reduce your credit score, which will hurt if YOU actually need to get a loan or credit.
I have done lots of phone shops where I have used an alias and lots of them where I use my real name. If you are using an alias, write it down before you start dialing so you don't get confused about what your name is this time! If I'm doing a phone shop where they need to call me back, I always either give a real name or alert folks in the house that any calls for Linda or Mary or Betty etc. are shop calls for me.