In the US, the Telecommunications Act of 1996 makes some prank calls a felony with penalties of up to two years in prison, and possible fines (depending on severity), if they are done with the intent to "annoy, abuse, threaten, or harass". Though odds are nothing will happen to you, it's best not to risk it, as it is very easy these days to trace where a call is coming from.
Yes it is illegal. Someone prank called me before so many times, it was like 8 or 9 and each time I asked who they were, why they were calling, and to please stop. But they didn't, so the next time they called I said "Shut up, SHUT UP, I'm calling the cops." Then they started crying on the phone(: But they also said they were my friends brother, but it wasn't his number nor his voice, so he was using forgery. For forgery, you can stay in prison for a year or two, even just prank calling forgery.