I tend to fall back on my training and say, in a slightly amused tone, "Objection. Assumes facts not in evidence," and leave them to try to figure out what the HECK I just said. But this phrase is much, much better. I shall use it.
But it sounds so much more like a line from a script for Perry Mason, Ben Matlock, or even one of the lawyers on Law & Order when you say "Objection, assumes facts not in evidence"! "What an interesting assumption" and turning away from the idjit comes closer to giving them the cold shoulder, though.
Gee - they both have their appeal.........