Having fun with those scammers is a hobby called "Scambaiting" for some people, the goal is to lead them along for as long as you can, and to get them to do bizzare things to prove their sincerity, like taking a picture of themselves standing on one foot holding an umbrella, or holding signs with unflattering messages that they do not understand. The people that have fun with the scammers often post the funniest results on the web. They also engage the scammers pretending to be fictional characters, it is quite funny. Most of those scam e-mails come from Nigeria (I think e-mail is their biggest export), and the scammers are usually referred to in the scambaiting community as the "Lads from Lagos" or "Lads".

Seriously, they do find victims all the time, and clean them out. Many victims are reluctant to report it, because they know they will look like a fool for falling for it.

See:

http://www.scamorama.com/#antiscam

http://www.419eater.com/index.htm