Generally, when someone does something nice for me I say 'thank you'. That's how it should be. Today was a bit of an exception as a stranger who held a door open for me had his headphones on, so I just nodded instead. Although later I realized I could've totally said it too - even if he wouldn't have heard me, he would've still seen that I thanked him.
Today's experience also reminded me of one from a while back that still has me puzzled. At the entrance to a shop a man was holding a door for his female companion when he saw me and my friend approaching and then kept holding the door until we made it past him and inside. Naturally, I thanked him without even giving it much thought. However, he wasn't too pleased. He came up to me at the store and quitely said that "a lady should never say "thank you", particularly in a situation like that.
"Was he right about it?" is the question I'm still asking myself. Something tells me a different situation may call for a different reply to it and that specifics of a particular case might matter. But what is a general rule? What would a well-mannered lady do and what would a well-mannered man expect of a lady? Anyone familiar with the correct protocol?
P.S. There's a thread on the topic on Yahoo! Answers (not started by me), if you need some opinions to get you started on it.