There's multiple method for that, with each suits a particular setting.
For a formal, or serious talks, such as if you're a receptionist, an assistant or any career requiring you to answer calls, a formal reply should ensue.
"May I know how am I to address you, (sir /ma'am) ?"
"May I know your name (sir / ma'am) ?
The point that the sir or ma'am are in brackets is because they are optional. There's no need to discriminate their gender, just be direct. Don't use them especially if you can't differentiate the voice of a female or male.
A less formal alternative would be,
"May I know who's on the phone?"
"May I know who's this?"
"May I know who am I speaking to?"
Or the informal alternative, which is only suitable for a friend or if you're reluctant to promote English proficiency in Malaysia.
"This is?"
"You are?"
"Your name?"
It'll depend on the setting.

Added on August 16, 2011, 2:39 pmI do realise that I had grammatical errors on my answer. However, the Edit link on the mobile site is currently unavailable. And, I'm really exhausted today.
This post has been edited by reconnaissance: Aug 16 2011, 02:39 PM