I use an AppStore app called YouMail (use a jailbreak tweak to remove the voicemail tab from the Phone.app).
YouMail is awesome.
You can create your own greetings of coarse...but I like theirs.
I have mine set so when a blocked number calls me...the caller here's this:
"we're sorry..this number does not except blocked calls" and the call ends.
When someone manually blocks the number (dialing *67 before dialing my number), they here this message:
"we're sorry. This number will not except blocked calls. Please unlock your number and try again".
You set custom greetings for particular contacts.
You can save voicemails from the YouMail app, upload them, email them to friends. Even post them on Facebook, Twitter, should you get an amusing voicemail you want to share.
It's just awesome...
And unlike the Phone.app,..Visual Voicemail is available on data and wifi. Where as the stick visual voicemail can only be used though your data from your data plan.
Has folders you can save voicemails to,..can create folders to store them. Deleted messages are archived into the trash folder...in case you want to listen to a deletes message. And you can swipe to delete voicemails in the Trash folder to delete them permanently.
YouMail also has a website that gives way way more options and features to better customize your visual voicemail.
The best part is that it's free. Tho they sometime send you emails asking to subscribe to transcription. Where your emails are transcribed into txt you can read. But I don't use that...it costs money. Tho they let you use it for free for a little while.