We trans people are generally thought to have absolutely no sense of humor about ourselves. Generally, our response to someone who says that is that we are still waiting for them to say something funny...because that line usually is said after they have said something quite offensive.
BBC Three's Free Speech gathered together several trans people to prepare the following video...which is humorous as well as (hopefully) educational): 11 Things To Never Ask A Transgender Person
The short was created by journalist Paris Lees, film maker Fox Fisher with body modifcation artist Veronica Blades, Adeleh Fasansara with film maker Harry Taylor, and club manager Dani Gibbison (aka Dani St. James) with model Munroe Bergdorf.
Here's Harry's How do you know you're transgender?: