My daughter is 9 and has been the target of bullying at least in some part for the past two years. She had a lazy eye and really crooked front teeth, plus she’s a little bit of a bookworm. (She has lots of friends and spends lots of time playing with other kids - but will sometime just sit by the wall and read.) She had surgery which corrected her lazy eye a year ago and she got braces this summer which have already had a huge impact on her appearance - you can barely even tell that her teeth were misshappen. But she also began wearing glasses this summer (although I’ve picked the most stylish ones I could get.)
Anyway - I said all that to say that there were/are clear reasons that she was being picked on (not excusing the kids for doing so). I do believe that parents have the responsibility to minimize the number of issues that their kid could be picked on for. Poor parents need to make sure that their kid is at least clean and well groomed. If you have the means to get your kid clothes that are stylish (not necessarily designer clothes) than you should do that. Teach your kids how to behave in socially appropriate ways. Make sure your kid has some knowledge of the current fads (toys, books, cartoons, sport thing, etc) so that they’ll have some way to connect with other kids.
This is what I’ve been teaching her:
Physical violence (she’s been the target of a few instances)
If someone hits her she is to tell them ONCE not to do that again and walk away if possible (under no circumstances is she to run*). If they hit her again she is to hit them back and harder than they hit her (we practiced punching). The point is to deter them from hitting her again. If it turns into a full-on fight then her goal is to hit the person as much and as hard as it takes so that she can get away. I told her that I will ALWAYS back her up on this as long as she is not the aggressor. She could expect to get in trouble from the principal but she would not get in trouble at home.
The first time she felt confident enough to implement this (and really the first time I gave up on the pc nonsense and really pushed her to respond physically) was this spring shortly before school let out. There was this girl who would just walk up to her at recess and hit her. And my kid would do nothing except tell the teacher (which was effectively worthless**). Finally after complaining about it a few times to me, I made her practice hitting me in the arm so she could get over being nervous about hitting someone. The next day she went to school and saw the other girl coming towards her at recess. My kid hit the other girl really hard before the girl had a chance to do anything. She cried and went running to the teacher and of course they both got hauled down to the principal’s office. My kid told her side of the story and the other girl confessed to hitting her (surprisingly). The end result was that the bully lost all recess priviledges for the remainder of the school year after being suspended for a few days. No punishment for my kid and the bully left her alone. 
Teasing
The big, big goal here is to not let on that you’re bothered by the teasing. I do believe that if the bully isn’t getting the desired reaction he/she is less likely to bother you the next time. I’ve been giving her stock responses, scenarios to act out and we practice by teasing each other lightheartedly. She isn’t good with stinging retorts yet, but luckily the teasing she gets is easy enough to respond too. For instance some little brat kept calling her “brace face” so she would say to him (in a condescending way) “Noooo, my braces are on my teeth, not all over my face. See, teeth (points to teeth) face (points to face). Geez, even my baby sister knows the difference.” And for the few times she was called “four eyes” she would say “No, no, no. I have two eyes, lets count them, see 1…2. Do you need to go to kindergarten and learn to count again?” She’s had great success with the smart ass comments - gets the other kids laughing at the bully instead of her***.
*This will change as her ability to read situations and the possibility of life threatening ones increases.
**In general, the teachers at her school are fantastic and the principal is very hard-nosed and strict about bullying. But there will always be teachers who’s reaction to something is that if they didn’t see it then it didn’t happen. Fair or not.
***This will need to change also in the coming years as she will need to learn when saying something instead of walking away will cause more trouble than it’s worth. But for now it’s building her confidence and making her less of a target.
I think, like KGS said, the key is to not be afraid. Realistic roleplaying & practice helps bigtime, especially with grade school kids. When you know what to do in a specific situation you’re less afraid of that situation.