Caution should be the main watchword. Anyone can call themselves a headhunter but a good one will have done their homework. If they appear to know little about you then politely end the call - a true headhunter will have been recommended to call you by a contact who knows something about you!
The work environment obviously isn't the best place in which to hold a conversation with a headhunter so exchange numbers and arrange a specific time to talk. When you do speak again, make sure that you ask detailed questions about the position for which they are recruiting.
Stay in control and do not let the firm submit your CV to anyone until you are happy to take things further - some unscrupulous recruiters have been known to entice candidates to register purely in order to "market" them to their clients rather than to put them forward for a specific vacancy.
If you aren't interested in the vacancy then don't be afraid to say so but if you know of someone who may be interested then it will do no harm to recommend that person - good headhunters remember their sources and the next time they call you it may just be with your perfect job.
If you do take things as far as interview stage then be careful not to have too inflated an idea of your own worth. Even if there is a lack of suitable candidates, employers remain very selective and consider attitude and professionalism significant factors.
Do your homework - just because a headhunter shows a real interest in you, don't assume you can be lazy about researching the company. Make sure that you ask pertinent questions at interview or you may run the risk of appearing aloof and uninterested.
Don't play cat and mouse with salary. Going on interview to try and increase your salary with your current employer will portray you as fickle with potential employers and devious with your present one. Respond promptly to job offers. Given two equal candidates, the more enthusiastic will get preference.
Don't underestimate their value - building a relationship with a headhunter - even if you don't make a move yourself for several months or even years can be very valuable in the long run. They may provide you with the means of leaving a company which, in the future may not hold your interest
Use them as a sounding board - headhunters can sometimes suggest a different career strategy, which may give you an alternative and faster route to your chosen career goal and be a very good source of contacts and future networks, which may be useful to you in pursuing your career later on.
Everyone may appear to want you but don't get carried away. Your long term career development and reputation are more important than a few interviews that aren't going anywhere. Choose your opportunities carefully and make sure they are genuine!