When implementing call lists, you have the choice to either work with or without activities linked to the calls. Whether you link an activity to the call or not depends on what role the call has in the customer process.
Probably the biggest benefit of working with activities linked to the call is that calls by themselves are not visible on the customer overview, while activities are. If you choose not to implement activities linked to calls, users will not be able to see that a customer has been selected to be called from the call list. They will see the standard interaction record though if this was created by the user during the call.
Other benefits of the use of activities in call lists would be for instance that the status and the reason of the call can be maintained in the activity, as well as a long text on the call. Furthermore, a campaign can be attached to the activity, if the activity is linked to a marketing campaign.