How do you respond to an interview rejection notice?

What I should do:
Thank them, as CSM David Heidke stated, and ask why and for future opportunities with that organization

What I actually do:
Depends on their response

Reply to the email with a hand written thank you note - email responses are simply deleted and not thought about further. Physical paper MAY make the HR person put you in a future consideration file. Good manners are an attribute to your professionalism.

Always follow up with a thank you note. It's easier if you received one of their business cards. I've been called back for a job interview after being rejected initially because of the way I handled the initial rejection. Being gracious when disappointed is a hallmark of maturity. Being "crappy" just confirms in their mind that they made the right decision. Having been an HR person for many years, I find a lot of HR folks don't like to have the difficult conversations especially if they ask "Why not?". I believe that we owe that applicant more than an email. I call them personally to tell them that we had decided to go with someone more qualified or a better fit for the organization. I treat them with respect and in term I have been treated with respect.