Thing is there, it is also a question of the fact that other people are intolerant of you, so there is a natural resentment if you feel it is 'wrong' to be intolerant of them.
Obvious examples mostly exist in cultural 'clashes' between East and West, where we are bombarded with images of people calling for heads and for stonings and yet are told ourselves that we must be respectful of other cultures etc.
There's a lot of Media play going in with that, I'll certainly say that much, but asking yourself whether you should be intolerant of intolerance is, to my mind, a silly question. It's all very well being cerebral about things, but you can't turn into some kind of mental Oozlem bird.
Intolerance is the one thing that should not be tolerated, paradox or not. But intolerance is a 3-edged sword, to paraphrase B5, and depends heavily on interpretation.
That said, as mentioned earlier, we also need to be careful how much intolerance there truly is and how much we are just having it blown out of proportion by an overzealous Media machine that cares more about ratings than facts.