How do I deal with companies that call and ask for personal information?

I react exactly the same as you- I first ask them to authenticate themselves to me, after all, they called me. If they can't or won't I tell them that I will call my bank manager/utility rep/whatever and that if this is an official message I should be able to receive it after authenticating the usual way.

Don't give in to them- they need motivation to start doing this right.

I generally ask that they give me a call back number so that I can validate their identity. If they give you the number, tell them you will call them back momentarily at that number and validate that it is a number for the company they claim to be. If they get irate, ask to speak to a supervisor, if they still won't play ball, hang up on them and call the company they claim to be and ask about the call. If the call was legit, they should be able to let you know what it was about, if it was not, then it is good for the company being imitated to know so that they can warn their customers.

Never give out information that could be used to validate your identity without first validating the caller and generally the only way to safely do that (for both of you) is to initiate the call to them.

Firstly, you are the customer. Getting irate at customers is bad business practice, so real banks train their operators not to act that way (the only companies who can afford to shout at customers are companies who are in the fear management business, i.e. the Mafia, non-democratic governments, and televangelists).

Secondly, banks train their customers to never, ever give personal details to unsolicited phone callers (or, for that matter, by email). Genuine bank operators, and good impersonators, know that -- the latter will thus have a handy story to cover that, and that story may be entertaining. This is the only point which justifies keeping on with the conversation; otherwise, it is just a waste of time and the only sane response is to just hang up.

If you are anxious about missing an "important phone call" from a bank or utility company, then tell them that you will call back in five minutes -- and five minutes later, you call them back, with the real phone number, not any number they gave you. If it is important, they'll still be there. And in that case, you will know that they have very sloppy security procedures and you will be entitled to shout and scream and threaten -- remember, you are the customer. That's your job.