That's stung me a few times, actually - when American friends of mine talk about their interest in Asian cinema, there's still a slight mental delay before I realise that they don't mean Bollywood.

Also, when I was at university, a black friend of mine went to study for a semester in the USA and he found the amount of times that he was referred to as 'African American' absolutely hilarious. He was born and raised in London and his parents are Caribbean - making him, as you say, neither of those things.