Yikes! That was very big of you how you handled the situation with that analyst. You made the right decision, she isn't worth it. Even if you have a joking around environment that was TOO crude for work. I think Ruchie is right on this, you probably made her feel an inch tall by not biting the bait! And if you answered back with an insultm she would still think it was an ok thing to say and that she wasn't out of line, and the jokes would get worse.
Good luck with all the job stuff! I am hanging by in mine now, but within this year I should be somewhere new! *fingers crossed*