They used to sting, when I first started out. Now, I'm pretty much immune to them. Just another reason for me to move on and keep trying. If they are personal with nice advice, that's a bonus. Otherwise, I file them.
I guess the impact of rejections lessened after I got a few things accepted. Publication helped a lot, so that I didn't really look at rejections as "I do suck." It became more apparent to me that it was always about the work, and not me, and I was able to more objectively assess my work.
In a way, it was a conscious choice I made. We are responsible for our feelings, and I deliberately told myself not to make a big deal of rejections.
And no, rejections haven't really changed the way I write or the subject matter, etc. I still write stories, and I let the stories dictate how I write them. I am more aware of markets.
I prefer form rejections, really. They are simple -- a no is a no, so I can move on. Column "yes" and column "no." Simple. If it's a personal note, I appreciate it but then it complicates things -- is the editor right or is it just his or her opinion? Do I need to change my story? Etc. Most often they don't really add anything to the mix, and they just become distraction. So, yes, I prefer a form rejection. A "thank you" for the submission would be nice.