I remember being picked on as a kid. Most of it is like Heath and another forum member "...disagreeing about whose weenie is bigger..." so, with that in mind, this is what I have done and would do for my own kids.
The bullying, depends on how it's done, being physical back to the bully doesn't solve much. It does, however, speak volumes to remember that the knee can take only 15 pounds of pressure for it to be thrown out, rendering the bully doubled over, on the ground and long enough for the person being picked on to get out of there. I do not recommend a kick to the genitals, as that could kill a person, but I do recommend martial arts. Karate, Tak kwon do, Judo, Kung Fu...these should be learned. Get picked on again? Never, since everyone now knows not to mess with you.
Let me tell you a story about a guy in my brother's boot camp when he was in the Army. The Drill Sergeant (DS) was picking on one new recruit, calling him a wimp, among other names. One time, they were working on fighting and the DS and this guy had the sticks and going back and forth. The recruit threw a swing, knocking off the DS's hat. The DS picked up his hat and asked the recruit where he learned this. The recruit said that he was a brown belt in Karate. The DS then said, "You could have killed me, couldn't you have?" The recruit replied, "Yes." For that, the DS apologizes to him and never called him names again. The premise of the story...learn martial arts and learn how to disable your opponent before they disable you.
It also helps to learn it for anger management.