ANDY'S ANSWER: I also don't understand why people like to say and do things to hurt other people, but unfortunately it happens. My best advice is to try and use humour to deflect when people say something that hurts you. You are less likely to be picked on if it's not so obvious that you are sensitive to what they are saying.
The other thing is to find a friend to walk with you so you don't end up facing someone who is tormenting you by yourself. For example, you could ask a friend to keep you company as you go to classes, or on lunch or even approach someone else who is getting picked on and say, "maybe we can help each other...."
If you are seriously being bullied, you need to report it to your teacher or principal. You may have to report it more than once if it is on-going. Otherwise the school will think it was an isolated incident and it's now over.