Can you auto reject phone numbers natively with a Droid phone? I have a Droid X and I'm trying to set up an auto reject list and it looks like I have to download a third party app to do it. Am I missing something?
This depends on the features that come with your Droid X, as they may be slightly different than other brands of Android phones. 

On my phone (Cyanogenmod 7.1 Gingerbread) there is a setting under Menu -&gt; Settings -&gt; Call Settings -&gt; Blacklist, and another forum user says in Android 2.1 there is an option under Menu -&gt; settings -&gt; call settings -&gt; all calls -&gt; auto reject.

Others say in some contacts applications you can long-press a contact and choose to block them specifically.

Another good solution is to use Google Voice to handle calls and voicemail and such. It's not built in to begin with, but it's a Google service, so like second party. 

Although, 


  In ICS you can specify a reject list that matches certain criteria
  (Start with, Ends with, Includes, Exactly the same as). This way you
  could specify Start with 1-800 and it would reject all calls that
  start with 1-800.


according to a post on this forum. So if you're using an ICS ROM, you may be in luck, as most here are skeptical about the Droid X getting an official ICS update.