I don't think you have to read too many posts on here to find out that: "Oh that's awesome, how great for you" is not exactly the right thing to say either.  What exactly is it that you would have them say?

Ideally, "oh, okay" and then continuing on thinking of you as your correct gender without making it an issue.
Hey, I'm an optimist.

I have gotten, "Oh, that sucks. You were really hot as a chick, too" as a reaction to finding out I am trans. Not sure if I should have been offended or not...