The answer to your question - what happens if you call back a spam number is - I am working in the VoIP telephony industry, if you call back a number that you don't recognize, say for example that it is a spam caller, you are effectively confirming to the dialer/company/data provider that the line is a "live lead".
In the UK it's frowned upon and in a certain sense it's illegal. In certain select circumstances, for example if the call is made via a SIP network, withholding your number may make little difference.
In a SIP sense, while your Caller ID will be set to anonymous (From: sip: anonymous), there is nothing stopping your telco from setting your real Calling Line Identifier in a P-Asserted Identity header or a Remote-Party Identity header, therefore the end party can decode this information and reveal your line identifier. Of course this is a very select scenario but not impossible, knowing how many companies are now utilizing SIP/VoIP services instead of traditional PSTN/POTS/ISDN lines.
As much as I'd appreciate you'd want to call them back and give them a piece of your mind, I would advise against it and just either ignore it or add it to your devices Blocked/DNC List. In the UK, you can register with the Telephone Preference Service to reduce unsolicited sales/marketing calls. In the US, I believe you have the National Do Not Call Registry. Once registered, I believe that it then becomes illegal/a felony to call the number without explicit consent.
There are a multitude of reasons not to call them back as they could extort information out of you, you could call back a number that is a premium rate number, to name a couple. Better safe than sorry.
