I only ever get that in STL & LAX. So far these have all worked well:

"That way"
"Through security"
"Mordor"
"I have no f*#king idea"

These didn't work so well:

"Do you mean in the existential sense or the objectivist?"
"Nowhere if you keep asking pointless questions"
"Hopefully wherever the ticket says?"
"To Oz! I'm off to meet a Fairy Princess!" (Judging by the reactions on two occasions I've done that one, TSA is decidedly homophobic)