Ignore the person. Try to walk away and act as if you didn't hear what the person said. If you act like it doesn't bother you, he may leave you alone. Sometimes, a person picks on another just to get a reaction. So, as hard as it sounds, don't let him see you react.
Tell the person to stop picking on you. Look her in the eye and remain calm. Do not let her think you are scared or bothered in any way. Do not yell or curse at her. Simply tell her to stop picking on you. Confronting someone is often enough to stop the behavior.
Defuse the situation with humor, if possible. Say something funny, even if it's about yourself. If he picks on you about the way you dress, for example, make a joke about your clothing. By not giving him the reaction he expected, he may stop and leave you alone.
Ask her why she is picking on you. Try to engage her in conversation. Maybe she's having a bad day. If she picks on you on a regular basis, ask her what her problem is with you. You may cause her to stop for a moment and think about her behavior. She may realize after speaking with you that's she's been wrong in her judgment of you.