Don't call me that in public.

The automatic response when somebody says "Jesus Christ!" in exasperation. It implies that the person thinks you are divine compared to their sorry ass. There is also an undercurrent of blatant self-promotion, in that it's fine for them to call you the Lord behind closed doors, but you don't want them embarrassing themselves in public. This usually pisses them off, but it stops them from whining.

It can also be used when someone yells, "Jesus!" "God" or some related phrase.

Does not necessarily need to be used in public.