I found out about the comedian James Veitch from one of those TED talks on YouTube. He does a series of videos in which he describes his interactions with scam e-mails. Through social engineering he often gets the e-mailers to reply in humorous ways as he strings them along.
Out of all the clips I've picked the video below as an example. I think it's one of the most hilarious and it also best represents his technique.
You would think after the childishly drawn graph and oddball replies from Veitch the person sending the scam e-mails would just quit early and move on to another possible victim. Maybe the stereotype of the millionaire eccentric is what pushes the scammers into believing they're not being strung along? I don't know but that's my guess.