I have friends who are Jews, and that is what they call themselves, in a good way. In fact, one friend told me that he wasn't "Jew-ish"--he was a Jew. He said, "I'm not 'ish' anything; ish means like a Jew but not really one." That's what he said. Even though some people might use the term in a negative way he wasn't going to let them hijack his heritage.
I guess it's a personal preference, depending on your experiences.
