It probably depends on who you speak to as in my experience to say you're an atheist is only shocking to some religious people. Most people I know are either atheist or agnostic, but of course that's not necessarily a representative sample. Maybe British people you spoke to were shocked because we have the impression that America is predominantly a country of believers.I've gathered the impression that the term "Athiest" isn't used in Great Britain. When British friends have named their belief system, then have turned to me expecting me to name one of the denominations prevalent here in the States and I've responded "I'm Atheist", they've looked shocked. A few have said, "We say 'Agnostic'", as though Atheist is a rude term.