Over the years, I've been getting a lot of dumb, foolish people that ask me if I'm in the mob, just because I'm Italian. I personally couldn't stand it until I got a few good lines to use on them.
Scare them - "Yeh, you got a problem? Cause I could have somebody fix it for you."
(Usually get a

)
get them thinking - "Why,you wanna find out if am?" watch the
smooth - "There is no such thing as 'la cosa nostra'" (works even better if more Italians are in the room and you all say it, they get freaked out)
Use sterotypes to your advantage-- I don't even get HBO but The Sopranos have done more for me than you could imagine. I get respect cause I got a name, it's great. So while it lasts, pretend you are in teh mafia, really freaks out people, and it's fun!