Look for a wall to hide behind.

Place a Poison Potion, TNT Crate, or throw a Bowling Bomb at the last second. Note: If done with Nitro Crates, the explosion will hit you. If you have one, drop it moments before and continue in a straight line.

Try to hide behind other player.

Jump at the last second. The rocket will explode, but it will not damage you. Recommended for experts only.
Power slide from left to right frequently. If done correctly, the rocket will miss you and hit the wall or other players.
Fire a rocket backwards. As the player who launched it to you was the nearest, the nearest player to you may be him. The rockets may crash with each other.