Here's how to use either approach:
To stop the label Phone: from being displayed if the phone number field is blank, right-click on the label and select Format Text..., in the Format Editor tick the box labelled Suppress and click on the Formula button and enter a formula similar to this:
Code:
If Len(Trim({mytable.PhoneNumber})) = 0 Then
    DefaultAttribute
Using Hack's approach, create a formula to display the phone number (instead of placing the field on the report) and enter code similar to:
Code:
If Len(Trim({mytable.PhoneNumber})) = 0 Then
    "No phone number"
Else
    {mytable.PhoneNumber}