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 why some callers are surprised when you ask who they are -- they are wondering why you don't know.
Moreover, it is now often expected to pre-arrange a phone (skype, facetime...) call by text-message before actually calling. This is precisely to avoid the sort of "home invasion" calls that you are alluding to. If a call with a certain person is arranged for a certain time, there is (almost) no question who is calling at that time.
Source: Burt Silverman explains how phone etiquette has evolved in this video on the Wall Street Journal's website.