I generally don't mind if someone is just trying to be polite, but if someone constantly thinks I'm upset when I wander around thinking, I can get annoyed. I first tell them that I'm just lost in thought, but if that same person keeps asking what's wrong every time I try to think, I promptly list off every single bad thing that happened to me that week. "why don't you smile, you look sad?" "I am sad, my cat just died, I failed a test... (and so on) Why would I smile?" Needless, to say they don't ask again I sometimes feel bad about it, because they are trying to be nice, but they can also be annoying, and it's fun to see their expressions. I don't mind it so much when someone decides I look lonely so they sit down and start chatting, as that can be kinda fun.
I also list off whatever was good or bad since I last saw someone if they ask "how are you?" if I either know them well, and know they'd be amused, or if it's someone who asks that solely from a perceived obligation and doesn't care how I answer, as it's not a question, but a statement. I prefer playing to getting irritated, as people can be very surprised, and are really funny to watch.