The long standing debate about cold-calling versus no cold calling continues. People have built businesses out of each position - so it was good to read this article from the November, 2004 issue of Inc. magazine, called Warming Up To Cold Calls.
I agree with Keith Rosen's points about knowing your value proposition ahead of time, and doing research and homework. This makes the calls warm, not cold.
Fundamentally, once the prospect knows that you've focused on them specifically - rather than one of thousands of names - that you genuinely feel there may be mutual interest in learning more about each others services - they are typically put at ease and most often are welcoming.