Has anyone been called 2do a western union transfer 2gain a claim receipt 2win money from Global mega million?

I received a letter the mail saying I qualified to win $2.5 million if I deposited a $499 check into my checking account and spent a certain amount at walmart, sears, and to send some to someone via western union. After that I could keep the rest. I did not do it because I thought it was a scam. But today I got a call from a guy saying that I was randomly selected and won the Global Mega Million lottery because I shop at walmart. I amused the guy and let him talk for a while, he was slightly convincing until he told me that I had to go to western union and send $299 to someone. That receipt would be my claim ticket to the 2.5 million and I would get escorted by two state marshals to a merchant banker that would cash my big check and give me the money. Has anyone else experienced this or heard of this? if so let me know.