Prospecting for an appointment: When to leave a phone message, and what to say

If the prospect you are calling knows you, then a message is worthwhile.  If you have been referred or have something topical/industry related to say (only a teaser not the whole message) then a message is fine.  If your call is literally a cold call, then a message probably doesn’t serve any purpose but may lead to the prospect/suspect blocking your future attempts to make contact.
The message you leave is important. Don’t give away too much.  The reason for your phone call is to make an appointment, not try and educate the prospect. The message therefore builds your credibility (via stating the referral person or specific reason for wanting to meet) and offers up potential times to meet (offer up two as the prospect then is thinking about which one to accept, rather than whether or not to meet).  Do not ask them to call you back, instead state that you will call back at X time to finalise the time.  They may decide to call you back of their own accord (as they are likely to have caller ID) which is fine.