It is useful to know your state's phone recording (and other recording) laws, and learn the difference between 1-party (requires just your consent to record) and 2-party (requires both+ consent to record). Know that if you are in one state that may be 1-party, but you are on the phone with someone in a 2-party state, you have to err on the side of 2-party recording laws.
All that said, avoid, avoid, avoid speaking on the phone with Collection Agencies and Junk Debt Buyers.
If the other end says that 'this call may be recorded (for any number of possible reasons)', then you may record. Even if in a two party state.