Hiya,
I posted about phones which I've used and had experience with here - http://www.saafe.info/main/index.php?topic=1704.0
Basically, service provoiders don't block private numbers, you need a phone with Symbian software - so either a blackberry or Nokia E or N series. Personally, I don't know any others, but thats because I just use Nokias for work phones and I haven't seen anyone else post about any others.
You can get a couple of types of blacklist software, but the best one is Advanced Call Manager which - if you set it up right (instructions are in the post) will block nuisance numbers, and let you record a message, which only the p private numbers will hear, asking them to call you back on a non-withheld number (as a few guys dont realise their number is withheld, so it's handy to let them know rather than just block them)
A friend of mine has a nokia E71 for sale (probably around ?175..it's ?270 in the shops I think...I'll really have to check) but that has Advanced Call Manager built in. Or you can download ACM onto a Nokia or Blackberry with symbian OS software (for around $25), which might be a bit cheaper if you can find one on Ebay.
iphones are great as well, as long as you get Cydia so you can get iblacklist. Plus it means a buddy can follow you (or at least your phone) on googlemaps. But I haven't tried it yet as I use my iphone for personal use so don't need blacklist, but do use the googlemaps thing on outcalls.