As an aside, if you're really interested in learning about what's going on, have a look
here, have a look at some of the reading list, grab nmap (easier if you have a Linux box) and start scanning yourself. It's quite interesting what you may be offering to the outside world
Notwithstanding the fact that "they" are doing it to you, you need to bear in mind that such scanning
may be illegal -- I say may, because although "unauthorised access" in an offence under the act, nobody has tested in court (to any significant extent) what actually constitues "unauthorised access"
If you are repeatedly being scanned from a particular address or network[*], you may want to report this fact to the ISP concerned -- but bear in mind that such an ISP could be anywhere in the world. Reputable ISP will do something about this -- you will be surprised by the number of well-known ISPs which are not reputable, using this definition
Pruners may find
http://www.samspade.org/ssw/ useful for tracing the source of this stuff
* If you need more info on how network addresses work, please come back to me.
HTH,
RTFM