Yeah... it's pretty annoying sometimes. Granted, I've only been here for a couple of months. But having a child in school opens the doors to a lot of large-scale social gatherings, and it gets really old when the thirtieth person in an hour walks up and says, "Hi, I couldn't help overhearing your accent. Where are you from?" and then all of the questions that follow. After a while I did feel like the new trinket on display, but I try to remember that people are usually just trying to be friendly and they really don't realize how often those questions get asked.
I wonder if it's harder being an American in some ways. There don't seem to be too many compared to all of the Europeans from various countries, so while everyone's used to hearing foreign accents, they're not as used to hearing American ones in particular. Don't know if this is true, really... just a guess.