I can't believe how eager people are to be offended by good wishes. Regardless of your religion or lack thereof, the proper response to "Merry Christmas" is "Thank you." The proper response to "Happy Holidays," "Happy Hanukkah," "Happy Kwanzaa," "Happy Yule," or any good wishes is "Thank you."
In case of overtly religious greetings it is permitted to abstain. For instance, if you're not a Christian and somebody greets you with "Christ is born!" it is not necessary to respond "Glorify Him!" However, to take umbrage at "Merry Christmas" or "Happy Holidays" is boorish, childish, and rude.