Dave Ramsey always asked people who call into his show to yell "I'm debt free!" if people teased them and they almost always say yes. So you're not alone!
I don't actually get teased, but I don't have a ton of friends and I probably wouldn't stay friends very long with someone who teased me for trying to get out of debt and save for my future.
Then again, I don't do anything crazy frugal, like knit sweaters out of dryer lint or split my two-ply toilet paper into one-ply, and I am often surprised at the reaction I get when I share a frugal tip (like borrowing videos from the library) that people think I'm cool! Part of that might be my attitude. I don't think there's anything wrong with what I do (not saying that you do!

: ) and I don't go on about the money I save by saving baggies, so when I do mention something, it's usually very casual, like "Oh, yeah and I was able to watch the whole series of Six Feet Under." "Wait, I thought you didn't have cable" "Oh, I don't, but I borrowed them from the library" "Whoa!! You can DO that! That's cool! I should do that!"
BTW, we rarely have people over (we live in a big city in the suburbs and most of my friends don't live near us), and maybe if we did then they would start thinking we are weird. Of course, our neighbors got a clothesline after we put ours up, so I was laughing about how they were trying to keep up with the Jones', except that we don't buy much!