I like to joke that the worst part about asking for feedback is that you get it. What we really want is for everyone to say "you were perfect". They never do - and if they do, I usually don't believe them.
People mistakenly believe that they HAVE to take all the feedback given and make changes. This may be impossible because you may get conflicting pieces of feedback. For example, "you look great in that purple shirt" vs "that purple shirt doesn't really work with the setting".
Realize all feedback you get is optional. It is your choice on whether to change based on it. There are just some key things to do to ensure you continue to get feedback and improve.
First, think deeply about the feedback. You'll notice in the purple shirt example above, the comments really were different. One was referring to how I look, one was referring to the shirt vs the setting. Maybe I could solve both by wearing the shirt, but adapting the setting? Maybe I could say one of the comments is more relevant than the other (I'd rather look good than worry about the setting)?
Second, consider explaining your reasoning for not taking feedback to the person. If they see you didn't, they may think "why ask me if you aren't going to do it" and then never give you feedback again. By explaining your thought process, it shows you really did value the feedback (and want more in the future), but you had a good reason for not taking it. You don't have to do this every time, but make sure it will not harm a realtionship.
Third, realize that not taking it could be costly. Not listening to a manager's feedback could hurt your image with him. Not listening to a spouse's feedback could make them mad. In addition, remember employees will not take all of your feedback, so teach them that they need to explain why to you. After all, you are judging their performance and results, so they will want to be aware of that.