In the United States it used to be customary before the proliferation of cell-phones that the caller should immediately introduce themselves.
Today, phone etiquette has evolved with technology. The person that is called can more often than not already see who is calling by looking at the display of their phone (caller ID). This also explains the surprise that some callers exhibit when you ask who they are -- they are wondering why you don't know.
Moreover, it is more and more expected to pre-arrange a phone (skype, facetime...) call by text-message before actually calling. Burt Silverman explains how phone etiquette has evolved in this video at the Wall Street Journal.