I am not the only female who objects to this title -- you may have learned this the hard way. It tends to be quite unpopular amongst the 40-and-under crowd.
What's so bad about it? History -- a history that has stuck to the word like patriarchal pitch. Keep it off of me. See, lady is one of those words that spells out a lot more than the letters that spell it. It has centuries worth of women-bashing baggage (literally speaking).
The title didn't start out so bad. According to the research of Jane Mills in Woman Words, "Lady" derives from the Old English hlaefdige, from hlaf, meaning "loaf" and the root dig, meaning "to knead." The masculine partner "lord" also comes from "loaf." When the word entered the English lexicon around 825, it referred to the female head of the household -- the person who the slaves and servants looked to for their daily bread. By the mid-18th century, this use was obsolete.
Over the centuries, "lady" fell from its throne of honor to crown the heads of those involved in "illicit sex." It started in the 14th century when "lady" described a woman who was the object of chivalrous affection. The next step down to "lady-love," a sexual mistress, was not far off. From there, it went way down hill. By the 16th century "ladybird," "lady of the evening" and "lady of pleasure" were all common euphemisms for "whore."
Okay, enough history (although there's more). My own personal experience with "lady" has usually been as "young lady." This is usually said in anger or as a threat, ("Listen here, young lady"). The other common use is "ladies room" where my friends and I go to powder our noses. (Yeah, right.)
Since I've been married, no-one has called me "old lady" as in "his." Don't you dare.