I have a whole book of them!
How to Stand up to Sexism; Words for when enough is enough.” — written specifically because so many women (myself included) are often left speechless by sexism.
Depending on whether you want a debate or not, you can try —
“Did you mean anything specific when you said X?” — which puts them on the spot and makes them explain their words.
“I don’t care if you think I’m over-reacting; What you said was rude,” — for when they try to dismiss your feelings.
“That’s quite a dismissive/sexist thing to say.” — focuses on how it was received rather than what they meant.