I always wave. Where I used to live, people did it a lot. Here, I haven't noticed it so much. I think it probably just varies from area to area.
I, too, get annoyed when people do dangerous things to be "nice" to me--for instance, stopping dead in heavy traffic to let someone out of a parking lot. If you're already going to be stopping at that light, and you leave some space for that person instead of pulling up right behind the car in front of you, it's a kindness. If you're moving along at a good clip, and you stop suddenly to let that person in, you're endangering the people around you and irritating me. I feel awkward taking a favor like that, know what I mean?