Well I'm Mormon, so all we have to say to get rid of the JH's is "Thanks, but I'm Mormon" and they pretty much leave skid marks (no offense intended to the religion!).
We don't get rid of the Mormon missionaries when they come to the door LOL, but all you really have to do is say "No thank you, I'm really not interested." If it bothers you, I'd hang a sign on your door that *specifically* says "No Religious Missionaries" or something like that.
We live in a small town, and we really don't get many people knocking on our door that we don't know - salesmen and whatnot are once in a blue moon. So we usually just take the paper or whatever and off they go.