An etiquette question

How does one react when a friend or acquaintance makes a comment or joke that denigrates an entire race, ethnicity, religion, gender, or sexuality?

I'm not so Good that I don't find humor in an off-color joke, but I draw the line where the joke reinforces dangerous (and usually untruthful) stereotypes. I also know that looking Shocked and Appalled and storming off in a huff is not usually the best response, as it removes the opportunity to correct, or at least counter with one's own views. (Certain subjects, however, do absolutely warrant at least a strong excoriation, if not a stormy exit. A joke that endeavors to glorify the depraved acts and beliefs of Hitler or John Lotter and Marvin "Tom" Nissen are examples.)

What are examples of responses that (1) clearly indicate that one does not agree with the sentiment expressed but (2) also express a genuine willingness to explore the issues surrounding the joke?

Lately, I've been within earshot of some very Bad "jokes". "Jokes" that will not be repeated here because they are profoundly unhealthy and unfunny. My standard response has been to give a heavy, "ooooh, that's troublesome" sigh (which is different from a "you're so stupid" sigh or a "this is beneath me" sigh) and follow with a remark - in a light, casual tone - such as "Oh, John, I know you don't really think that! You're going to give these lovely folks the wrong idea about you!" or "Helen, how about that 'how many lawyers does it take to screw in a lightbulb' joke you told me last week! That was a riot! And, unlike [insert offensive subject matter here], it's actually true!" or "Matt, buddy, that's not a joke. Here's a real joke..."

Suggestions?

***

Tip/trick/lesson of the day: A real joke.

A string walks into a bar. He asks the bartender for a drink. The bartender looks at him and asks, "we don't serve strings here." The string leaves. He thinks that if he is impeccably polite, he might be served a beverage. "Please, sir, if it is not too much trouble, sir, may I have a drink, please?" The bartender responds, "I'm sorry. We do not serve strings here."

The string again exits. He ties himself up and musses up his hair and walks back into the bar. "Aren't you a string?" the bartender asks. "Nope," replies the string. "I'm afraid not!"

(Please substitute the bar for a restaurant and the drink for a meal for children.)

Picture credit.