Next time he calls, in your most panicked, scary voice, say this: "Oh my G-d, what's that behind you coming out of the wall?" I guarantee you, the hair will stand up on the back of his neck and you'll scare the crap out of him.
I almost never answer the phone if the number is blocked or if it's a number I don't recognize. I just let it go to voicemail.
A few years ago, we got a couple late night calls that were disturbing - prankster was calling me and my wife by name. Caller ID only said "PRIVATE CALLER". I asked Verizon to set up call tracing on my line, which stays in place for two years, IIRC. Never happened again though.
Once you know you have a prank, keep the line open but say nothing, no matter what the ******* says or does. They'll hang up in a few seconds.