Door knocking or cold calling?
Cold calling is worse, at least when you door knock you can ask if you can use their bathroom.
With door knocking there is always a good chance some hot sorority girls will be answering the door.
Forget cold calling and door knocking. Buy this book, read it, implement it.
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BB, I would have to say door knocking. For me it is so painful to take face to face rejection. To see the look on a guys face when he is doing something in his garage and you come walking up the driveway makes me want to puke. He knows he is trapped and you know he doesnt want to talk to you. On the phone they can just hang up on you and you can move on very quickly. You dont have to stroll to the next house thinking about how brutal the experience is.
Door knocking will give you better quality contacts, cold calling is much more efficient. In 25 door knock contacts, you may get 5 people to follow up with. With cold calling, its 2 per 100 dials. In both cases, the first contact of the day is the hardest, then it gets easier.
I find that if I'm in my office, making a cold call is effective. I also find that if I'm near a business, walking in the front door is effective.
There is no doubt that both are effective. Like Nick Murray says, any prospecting program is effective if you work it long enough. The key is to find out what you dislike the least and do a TON of it.