Depends on the situation, really.
If they're just moronic insults from ignorant people, they don't even deserve a reply, so it's mostly something like this:
them- go back to where you came from, towelhead!/ you islamicz stink/ is your dad friends with bin laden?/ do your parents lock you up in the basement and chant at you from your koran?
ALL RIGHTIE THEN
(with pretty much that exact facial expression)
But if it's someone who I think might actually listen to
why I wear the hijab, or why islam does not condone acts of terrorism, or how women are not oppressed, I might explain to them in a sentence or two. If I get positive feedback, I'd continue, if not, I'd just leave them alone.