I've had that happen *at work* of all places (years ago- by a boss!). I wasn't even Atheist then but I was still offended and thought it crossed a line :/
My advice? Just say no and leave it at that, a lot of the time that will throw them off. It's hard to give an answer that won't lead to a long discussion! Don't argue and don't entertain them or they won't let it go.
Maybe we need to print up Atheist "tracks" to hand out with the title "No one's going to hell" -that would shut 'em up...for a minute :D
I recall telling someone who asked that, I belong to the church of What's Coming Down Now. But if I was asked now, I'd say : the church of the flying spaghetti monster.
My next door neighbor, who was 91 yrs old did that to me. For months I had helped her with things and one day she asked me to go to church and I told her I was an atheist and she hugged herself and backed into her chair and started telling me that I was no good and immoral. I reminded her that I never had done drugs or alcohol and was married for 33 yrs and she said that that didn't count. Shortly after that she banged on my door after I was asleep ranting and I told her to go away. Shortly after that I was called into the office for being offensive to her and 2 months later we were evicted by email. Yes! I want to choke people when they say I am no good because I don't have a personal relationship with Jesus. I want to say that I only have a personal relationship with my husband and people who respect me. You should hear the city council meetings here in San Antonio, they sound like old time tent revivals.
When I was still drinking, I would find tracts stuck in my security door from time to time, and I had a plan I never got to execute should I ever come face to face with them. I was going to open the door stark naked, with a bottle of whiskey in my hand, and yell "Com'n in!! Lesh tawk 'bout Jesus fuckin Christ a while!"
Good thing I didn't. In Birmingham AL, I would probably still be in jail.
It doesn't bother me. I get Jehovah's Witnesses at the door and Mormon/LDS kids asking, along with usual people at work. Mobile is mostly Catholic and I don't think Catholics go out hunting for the non-believers like they used to. If I'm not busy, I'll usually let them run through their bit, if I'm really bored, I'll argue.
Like William said, the Church of the Flying Spaghetti Monster is always fun. I've pulled Odin, Thor, Zeus, Chronos, Cthulu, etc. Pick an old, long forgotten god and ad-lib trying to convert them. The reactions are priceless.