It's inevitable that in interview season, everyone receives the illicit ding. If you're one of the fortunate ones to never experience this, I congratulate you.
There is not great way to get the ding, though I do feel some ways are easier than others. Email is just about as informal as it gets. The pro is that you don't have the awkward silence as you try to figure out what to say once someone has said they're uninterested. That leads me to the phone call, often the recruiter or someone from the corporate office who has no connection calls you to say you will not move on to Round 2. How are you supposed to respond? I simply say "thank you and enjoy your day/night/afternoon" though I'm not sure if there's a more appropriate response.
The voicemail is less painful than the actual phone call, fact is however, this person was trying to talk with you and the chance of them catching you may be as great as the chance that they don't. The voicemail to return a phone call typically means good news, unless of course you were me this morning, returning a phone call only to hear thanks, but no thanks.
Finally, I had another interesting experience this evening. I received the typical email this afternoon, only to get a phone call this evening with feedback. While I appreciate the feedback, it made the email ding feel worse than the typical recruiter phone call. I know it is meant to be helpful, except the feedback was regarding my quantitative skills and my knowledge of the industry. Fine, I did not articulate my industry knowledge well, but my analytic skills are part of my profile that I feel is strongest. I suppose we'll say last Thursday was simply a bad interview day.
While this post is mostly about the negatives of the interview process, I have heard some positives along the way as well, so don't think it's all dull-drums over here.