Good question...great thread started here! I too hate when I'm asked this question in flight, or on airport vans (like Super Shuttles). Such airport van rides also seem to cultivate this and similar nosy questions from pax sitting near you.

I've replied (with a smile) that I'm sorry, it's my policy not to talk shop or discuss my employer while travelling, and end it there. No further explanation is necessary. What are the chances you'll run into that person again anyway?

A few years ago I encountered an AA pilot who, during his initial PA announcement, suggested that pax "get to know the pax sitting next to them", which I resented. At that time, it was only a year or two after 9/11 and I'm sure this suggestion was meant in the best of goodwill as a gesture to possibly calm a still wounded travelling public. As it turned out, neither myself or the pax sitted next to me engaged in any conversation on that flight, but nevertheless I don't like the idea of encouraging innocent conversation that myself and others could view as invasive.