Heard this one from my CFII flight instructor. He's coming into the field on an IFR flight plan talking to approach. He says he would like a contact approach. Approach replies "sioux 29 you are on with approach". Then the CFI replies "we would like a contact approach...it's like a visual approach" Approach replies "sioux 29 you are already on with approach, understand you would like the visual." CFI says "Negative, we'd like to cancel IFR."