How long a time period are we talking here? A typical few seconds, or open-ended?
At a minimum, you might want to include some appropriate sound effects, layer over eerie sounding wind, maybe a squeaky door or something similar. A slight, varying echo wouldn’t hurt, adds a 3D dimension too it.
It might be fun to have a friend add a second voice in the background, somewhat disconnected, asking what happened, where everyone went, that kind of thing. Assuming time is an issue (you dont’ want people falling asleep because the message is 5 minutes long…), you’ll want to have a serious, slightly panicked, very confused tone.
As for the words, considering the amount of time you have, less is more, although some vague reason why or how you survived might add to the mix. Maybe add some cryptic reference to your involvement in a secret project of some sort. Don’t worry so much about the dialogue, let the caller’s imagination do the work for you. Ideally, they should know it’s a joke, but even so, they should wonder if they shouldn’t turn on the TV and check CNN, or look out the window and see if there are others outside.
Maybe run through the news and see what’s popular in the conspiracy world/mass media today, allowing you to change it regularly. CERN might be good, for example, maybe it’s “breakdown” wasn’t just a slight malfunction, and it’s all a government cover-up because something is seriously wrong. Maybe the Chinese baby-milk scandal has more effects that just making people sick and killing them. The new way of creating stem cells got out of hand. The possibilities are endless.
Changing it every so often will make people want to call you, too. Which, depending on the people that have your number, may or may not be a good thing.