It depends on the heckler.
If he/she is witty and adds to the performance, then the give and take can enhance the show, and the audience will enjoy it.

Since it's MY show, I usually have the last line, but if the heckler is good I will occasionally let him/her have the last laugh.

If the heckler is drunk and/or abusive and can't be stopped with a couple of zingers, and is distracting the audience, then I'll say politely that they are spoiling it for everyone else and ask them to quiet down. If that doesn't work, take a break and call the bouncer.

Once in a while a drunk heckler can be very funny, but if I give him/her too much latitude then he/she wants to be the star of the show, so giving him/her too much attention can backfire as well.

The ones who really annoy me are the patrons who make a big deal out of requesting a particular song and then talk all the way through it.
That's when I stop singing, and address them directly: "here's the song you requested, will you for heaven's sake listen to it!"

I had a guy one time who requested a song, and when I started singing it, he got up and went to the bathroom.
So I unplugged my guitar, got down off the stage and followed him in, and stood behind him at the urinal singing the song. I said: "Here's your request; I didn't want you to miss it."
The crowd had followed me, so the toilet was full of men and women watching me sing to a guy taking a leak. What a jolly moment!!

Seamus