At the risk of being called a "humorless feminist" (I mean, if it were funny, I would laugh!), I think it's important for women to be honest if a joke makes them uneasy. It may also teach that person that you're not going to be a party to your own denigration, and the jokester may spare the next woman his "humor."
According to sociology and psychology professors at the University of Granada, sexist jokes have serious repercussions. They found that when men listened to sexist jokes, they were more likely to be tolerant when presented with cases of violence against women. It makes sense — being comfortable with putting women down could desensitize someone to more tangible forms of harm against women.
Whether these findings seem convincing or not, how do you respond to sexist jokes? Has your response evolved over the years?