Find records from one table which don't exist in another

There's several different ways of doing this, with varying efficiency, depending on how good your query optimiser is, and the relative size of your two tables:

This is the shortest statement, and may be quickest if your phone book is very short:

SELECT  *
FROM    Call
WHERE   phone_number NOT IN (SELECT phone_number FROM Phone_book)

alternatively (thanks to Alterlife)

SELECT *
FROM   Call
WHERE  NOT EXISTS
  (SELECT *
   FROM   Phone_book
   WHERE  Phone_book.phone_number = Call.phone_number)

or (thanks to WOPR)

SELECT * 
FROM   Call
LEFT OUTER JOIN Phone_Book
  ON (Call.phone_number = Phone_book.phone_number)
  WHERE Phone_book.phone_number IS NULL

(ignoring that, as others have said, it's normally best to select just the columns you want, not '*')

SELECT Call.ID, Call.date, Call.phone_number 
FROM Call 
LEFT OUTER JOIN Phone_Book 
  ON (Call.phone_number=Phone_book.phone_number) 
  WHERE Phone_book.phone_number IS NULL

Should remove the subquery, allowing the query optimiser to work its magic.

Also, avoid "SELECT *" because it can break your code if someone alters the underlying tables or views (and it's inefficient).

The code below would be a bit more efficient than the answers presented above when dealing with larger datasets.

SELECT * FROM Call WHERE 
NOT EXISTS (SELECT 'x' FROM Phone_book where 
Phone_book.phone_number = Call.phone_number)