To add a little balance to what Felipe and Pete say (and comparable to what Ben says), if you feel your paper has been acceptably refereed modulo the issue of whether nor not it is appropriate for the journal that it was rejected by: meaning you're confident the referee understood the paper and the context, then when you submit to a 2nd journal it makes sense to mention that it was previously rejected, and give the name of the journal it was rejected by. This makes the editor's life much easier and I think it's appreciated. If you feel you're being persecuted I suppose this isn't a route you're inclined to take. But then again, if this route succeeds you'll quickly discover you are not being persecuted.