How do you respond to unsolicited advice?

Lately, several people have been providing me with advice I didn’t ask for. It’s really weird. It makes me quite angry because the kinds of things they are talking about are deeply personal, and they seem to think they know all about me. I was pretty offended and I decided to tell people exactly what I thought of them—in terms, I believe, that are polite, even if the sentiments are offensive. Of course, thinking about how I was treated made me even more angry, so perhaps I would have been better off to drop it. But then, how would they know how offensive they had been?

How do you respond to unsolicited deeply personal advice? Why do you think people offer such advice? Do you tell people they have been offensive? How do you do it? Do you get your dander up? Do you walk away? Examples could be helpful.