Oh, I struggle so hard with that. I haven't come across something like that very often, but on the occasions when it has happened, I have sometimes gone ahead and said something, and sometimes just quietly let it go. Sometimes I've had it turn out kind of badly (including one person who unfriended me), but usually the person's been really nice about it and receptive to my comment. It does seem to turn out the best if you're very polite about it and make sure that you let them know you know it was unintentional ...

Personally, like nefhiriel said, I want people to feel like they can speak up to me if I say something offensive, and I hope I would react well if someone ever did.