Not often enough, I'd bet.
I frequently get messages from people with mumbled messages, names I can't understand, phone numbers rattled off too fast, and not enough information. A couple of weeks ago, someone left a message without saying her name at all! Kind of awkward to call back and say, "I'm not sure who I'm calling, because there was no name in your message..."
Another aspect of phone messages and talking on the phone in general that I notice is the lack of enthusiasm on the part of the caller.
Now, I don't expect you to be jumping for joy when we speak on the phone, but I also really don't want to talk to you when your voice is monotone or dreary. Think about how you can put some warmth and friendliness and energy into your voice when you call someone. Make them feel glad they picked up the phone. Make them feel like you're happy to be talking to them.
I have a client who, when I call him, does not sound at ALL happy to be talking to me. Now I know this is not the case, and I know him and his voice. But if he's calling a client, or someone who he would like to become a client, he sure as heck better put some friendliness and energy into his voice.
Here are some tips to leaving a good phone message that will make someone want to call you back:
1. Speak slowly and clearly. It's okay if you speak slower than normal!
2. Mention the date and time you called, in case they don't check their voice mail regularly or are traveling.
3. Say your name clearly, and if your name is unusual or hard to pronounce, please spell it.
4. Say your phone number slowly and clearly. This is the most important part of your message! Without a clear phone number, the person can't call you back!
5. BONUS TIP: Let the person know what you're calling about. I like to know if someone is calling me as a prospective client, for example. I helps me to know how to approach them when I call back. It puts the person on the other end at ease, rather than leaving them hanging, not knowing who you are or what you want.
Just like when giving a presentation (and phone messages are mini-presentations), you want your audience to be engaged and interested, and to feel like you're interested in them. Take the extra effort to put some care into your phone messages and your phone conversations and watch how the person on the other end warms up to you!
ETA: Thank you to Deb Coman's comment, which reminded me of another bonus tip. How you ANSWER the phone is also important!
Recently I had to call a plumber fairly early in the morning. The woman who answered sounded like I had interrupted her and was not at all pleasant as she took my information. That reception, coupled with less-than-stellar service from the plumber himself caused me to delete this company from my mental database for future business.
Answer the phone like you want to talk the person on the other end. If you don't want to talk on the phone, don't pick it up.