Rejection is hard. But as a writer, you must learn to be serene when you open and read the contents of the too-thin SASE you've just gotten back in the mail.
You should never, ever reply to a rejection, unless it's to send the editor another piece at his or her request.
You will eventually get a rejection that comes off as an insult or otherwise absolutely infuriates you. "How dare he!" you'll think. "After the crap they ran last month, how dare he say this about my story! I'm gonna give that bozo a piece of my mind!"
Don't. Seriously, don't.
Even if the editor was way out to lunch, don't send him a rebuttal or explanation. I once got a rejection in which the editor clearly failed to read the last three pages of a story, and missed an important plot twist that addressed everything he criticized about the story. Oh, how badly I wanted to write back, "Sir, if you'd just read the whole story! Please!" and as a result I had to sit on my hands, whimpering to myself, for days. The story found publication, so in the end all was well.
Editors are rushed, they're distracted. Even a small publication that pays half a cent a word may get over a hundred submissions each month, some of them quite long. These small press folks are all holding down day jobs in addition to trying to get through the slushpile and put out a magazine. Editors won't read all the way through stories if their attention wanders. Chances are good, if your story doesn't grab them in the first page, that's as far as they'll read.
Editors are overworked and grumpy. They are less than diplomatic, sometimes even outright rude (all of this is why so many editors use form rejections; they're quick and neutrally-written so as to avoid inadvertently offending people). They'll misread stories. They'll reject very good stories that aren't to their taste (for instance, I know of a pro writer who had a story rejected because the protagonist had a toy poodle, and the editor hated poodles). That's just life.
Responding to an editor to say that he or she is wrong or made a mistake will nearly always backfire. You'll have at least annoyed the editor and possibly ruined your chances with that market. And editors are friends with other editors. If you write a real corker of an angry letter, the editor may be so POed that he tells his buddies about it over beer or IM: "I got this crazy letter from this John Doe guy today. Guy sounds like real trouble. If he sends you something, just don't even reply to him."
Thus, sometimes rejections do become personal rejections. Editors are human, too, and have human reactions. If the editor recognizes you as the person who sent an angry letter, or as the person who started a nasty flame war on the writer's board the editor reads, that editor is very likely to look upon your story with a jaundiced eye. Being a jerk in private messages, on boards, at conventions, etc. never helped anyone's career in the long run.
When you get a rejection, read what the editor has to say, if anything, in the way of critique. Then let his or her advice settle for a while, and see how much of it rings true.
Most editors of paying publications know a lot about writing; their advice should be listened to because (1) it's sound advice, and (2) they've got the money and the magazine space you want. For instance, if Ellen Datlow gives you advice, listen to the lady.
Some editors are seasoned pros who have little or no money to offer but run the best work they can get; their advice is just as valid as the advice of editors in the first group, and chances are good these nonpaying editors have more time to devote to giving your story a critique. If you've read their publications (which you should do any time you're submitting to an unfamiliar market) you'll have a notion as to whether the editor has good taste or not; if so, listen to what he or she has to say. If not, it's probably best to not submit to that market in the first place.
A very few editors are opinionated oddballs who can afford to run a magazine and pay professional rates; their advice should be listened to in the event that you want to see your work in the pages of their publications.
Sometimes, it's hard to tell which category an editor falls into. The only thing you can do is keep writing and re-writing, and keep submitting.
The people who get published are the people who persevere.