I'll be honest, I dislike cold calling people and I hate receiving cold calls. I have a terrible habit of being very short with salespeople who call me (looking at you, Phenomenex) during my day.
That said, it can be an effective way of getting a request in front of a relevant person who can help me. I can't think of a cold call story that's job-related (because I can be timid like that), but I can think of a crazy cold call story that had a good ending:
A long time ago, I found myself in charge of a hazardous waste program that had found itself quite a ways out of compliance. Not knowing what to do, I ended up calling our hazardous waste company's legal department, and I ended up being transferred to the VP of Legal, who answered the phone because her secretary was out for the day. I explained our situation to her, and after a very, very long pause, she suggested a few things that she could do, including connecting us to a very helpful and reasonably-priced consultant. It all worked itself out.
By now (some 5-10 years later), I am bolder with cold e-mails by far - but I am still VERY careful with them, thinking long and hard about who I should contact and how I should present my requests.
Readers, I am sure that you have better cold calling stories - let's have them.