I haven't had them come to my door....but they hang out on the sidewalk in front of my local Kroger. I engage them from time to time. I don't want to be known as a guy who the figure is opposed, so I just ask questions.
I say things like......"My brother is a Jehovah Witness [intentionally mispronouncing it] and I've talked to him some. Now, do you guys believe that at Armageddon, you have to be a Jehovah Witness to live?"
This is usually enough, if I do it sheepishly enough to get them trying to defend their faith. They throw the old straw-man arguments up that I remember using. I just direct them back and insist that they answer, not what the Watchtower says, but what do they believe.
I just make sure I just ask a lot of questions, because you know how much they love to use their superior Bible knowledge......you can use enough questions to make them see the silliness of their own reasoning. At least it should get them thinking.