Another option that I've found that works, albeit slightly more confrontational: "Why would you say that?/Was that necessary?" using the kindergarten teacher-/mom-tone works. The disapproval is made clear, and it makes the person have to defend what they've said. Once you make clear that you not only disagree with the bigotry, but expect them to explain why they think it's okay to act like that in a way that makes clear they won't be changing your mind on it, it shuts them down.

It may not always work (just like "dude, not cool" can have the inevitable "you're being too sensitive" outcome), but it's another powerful way to tell someone that their bullshit isn't welcome around you, and that you won't be putting up with it. I've had it work for me numerous times, not every time, but a majority of the time. ("What is wrong with you?" is a personal favorite but a confrontational one that I recognize isn't for everyone. I'm comfortable with that but I know not everyone is able to do that.)