Some veterans expect hero worship, or at least one of them I know does. I treat him like a normal person and I've gotten some static for that.
As for why it feels icky ...
A) If I meet a veteran I have no idea if he rushed into burning buildings to save children or if he worked at Abu Ghraib. I don't know if he repaired toilets or disarmed IEDs. Just assuming that veteran = heroic (in the case of the gushers) or evil (in the case of the part of the problem protesters) strikes me as unforgivably stupid.
Many veterans did do heroic things. I would love to shake General Petraeus' hand, for example. The guys who secured neighborhood by neighborhood and made the Sunni Awakening possible, mad props. The ladies and gentlemen who helped the Libyans get rid of Col. Qaddafi, excellent work.
But on the other hand, if I saw this bitch walking down the street I would be seriously tempted to spit in her face.
http://www.phawker.com/wp-content/uploads/2007/08/abu-ghraib-leashtweaked.jpg
B) The notion of treating soldiers like martyrs seems to be both silly and insulting. If I assume veterans were mature and smart enough to choose their professions (and I do make this assumption), it seems insulting to treat them as unwitting victims when they get hurt or killed. They were brave, they were often heroic but they also knew what they were getting into.
C) It is impossible for me to know, at least not without asking, why any individual soldier decided to join the service. Is it for a higher cause? Is it patriotic feeling? Is it money? Is it a career move? Is it for college? Is it family pressure? Is it a lifelong dream? I have no idea.
This puts me in a tough spot when it comes time to answer the question "what am I thanking this person for?"
D) One of the things about joining the forces is that you put yourself at the disposal of your fellow citizens. If I were a serviceman, I would feel that my fellow citizens had wasted my efforts and sacrifices in a great many areas over the last 15 years. This is solely my opinion, but it makes the question of what exactly the thank you should mean even more complicated, especially since I don't know what the actual veteran in front of me feels.