I've noticed that anything containing the words "sex change" gets giggles, some confusion and no seriousness. But that's probably due to where I live and what age group I'm usually around.
With "they are transgendered" there's some confusion and the immediate question of sexual orientation, but overall meh.
With "they are transsexual" oh no, you don't want to say that. Somehow, that's an extremist drag queen/king thing, and the reaction is general disgust, but some occasional confusion.
Personally, I don't see getting a sex change as being so incredibly similar to being transgendered. I mean, ->-bleeped-<- is an umbrella term that covers many other things besides transsexuals, and not all transsexuals get bottom surgery, which is what people think of when they hear "sex change." (I'm going based on the assumption that a "sex change" is what you have to do to get your gender marker changed, which for FtMs is usually top surgery) Of course, all this is just what I've been taught applied to my personal experience.