I always smile and say "I'm on a free trip right now" which 9 times out of 10, I am. And they shut up.

edit to add, I actually felt so bad one time watching a young lady start to sign up for the card to get 25k miles. As she stepped aside and sat down to fill out the app, I approached her and said would she like more than 25K and still get the card. of course she said yes. I told her to throw that app away and google american express delta 35K when she got home. There are offers all over the net for more than what they're giving her here. She thanked me, kept her application to herself and returned the clipboard.