ABC News online considers the increasingly common practice of stores asking for consumers' phone numbers. Part of the answer to the question quoted above is to track customers. Phone numbers provide more detailed information than zip codes, which are also often asked for. Stores are able to take the phone number and "enhance" it with additional data gleaned from database providers. All the stores interviewed in the article will go ahead with the transactions if you refuse to provide the number, so the conclusion is to just say no. See: ABC News: Why Do They Want My Phone Number?.
While this is a very common practice in the US, it is much less so in Canada because of consumer-protecting privacy laws. Companies in Canada can ask for the info, but have to tell you why they want it and what they'll do with it.