I think every Atheist has been there. At a family dinner, at some function, where suddenly those three words come out. "Let us pray."
What do you do?
If you believed some depictions of the atheist community, you'd think we immediately start yelling "I'm an Atheist, I don't need to and you shouldn't do it, either!" But, quite obviously, we don't. (If you do... stop it, you look silly.)
The rest of the time, though, really depends on the situation.
Most of the time, the answer is to just sit or stand there quietly. If everyone's around the dinner table holding hands, well, hold hands with your family. They're your family, after all. Church, say for a funeral of a theist friend or family member? Sit there quietly and be respectful. This should be common sense.
Most of the time when it's not appropriate, though - a school-led prayer, say - the appropriate thing to do is follow the "chain of command." Send a politely worded complaint to whoever's in charge afterword - the teacher, the principal, the school board, the mayor or other governing council involved. If they ignore the letter, see if there are other atheists (or, at least here, non-christians) involved and get them to write, as well. Don't immediately jump to a lawyer! Getting something imposed by law, even if the body is starting out in the wrong, will generally be accepted only grudgingly. Seeing public opinion, that "hey, in this class, we have several parents who object to this, maybe we shouldn't do it" is a much better and "organic" change.
And pick your battles. If the organization has a "moment of silence" - and labels it as such - there's really nothing inappropriate. Sure, some may see this as a "moment to pray." Great. It's still just a quiet moment... typically after a tragedy, but I have been in schools where they just had a "moment of silence" before the school day. Looking back, while then I associated it with prayer, I now can appreciate that sort of... waypoint between "before school, goof around like you're just here with your friends" and "it's now school time, everyone calm down and prepare for class." If it had been "teacher led prayer," while I wouldn't have objected *then* (being a heavily christian kid,) I certainly would now.
If you're not sure if it needs to be argued - ask another atheist. Get some opinion. If it's a grey area for you, it will be for others.
No matter what the situation, though, the biggest thing is to handle it with respect. We're growing in the US, but we're still starting off with the court of public opinion against us, unfortunately. Don't do anything to feed into negative impressions of us.