We've always taught Charlie (4 and a quarter now) that it's ok to say no:
If we ask him to pass us something
if he doesn't want a bath today
if he doesn't want his nappy changed right now
if he doesn't want to go for a walk
if he doesn't want to share a toy
if he doesn't want to eat what's on offer
if he doesn't want to visit a friend
if he doesn't want to play a game
if he doesn't want to wear socks / a hat
it's his body, his mind, we tell him. he is the boss of himself, it's his right to choose. these are lessons he's had from the start. if it's a question of him choosing not to wear a jacket but it's cold outside he must instead wear an extra sweatshirt etc. If he's chosen not to join us for lunch he will not get dessert instead, but it's no big deal. he might have fruit or a sandwich a bit later. if he wants to continue watching tv instead of doing a more "educational" activity, i'll usually pick a cookery programme or science-based one. There is a limit to the number of mind-numbing, violently-coloured cartoons he's allowed watch, but he does get bored with them too. today for the first day in a week he said he didn't want to watch any tv at all; he wanted to play around, so he's been reading, writing in his workbook, drawing, making halloween decorations, painting, baking and playing catch.
we are also allowed to say no to him, and he accepts this. yesterday we said he could have an ice-cream when we went to the shopping centre. before we got there we were in a local shop and he asked for a packet of sweets. i said ok, but if you have these now you can't have an ice-cream later. he ate the sweets in the car, then on arriving at the shopping centre he said "I've changed my mind, I'd like an ice-cream". He was reminded that he'd made his choice earlier, eaten the sweets, and there was no ice-cream today. he accepted this as fair.
He is ok going into a toy shop, playing with the toys in their boxes, and then leaving empty-handed. he does get bought toys as a treat, outside of Christmas and birthdays, if he's done something especially nice, or if he develops an interest in something, but they are small pocket-money toys usually. He does ask for new toys a lot, seeing them on tv in ads, but accepts "no, you can ask Santa". It's handy that his birthday is in June, as for the first half of the year he hears "you can get it for your birthday", then we use the Santa excuse. If we're going food shopping and he wants a drink, i'll give him a choice of two healthier choices when he asks for a can of a fizzy drink.
my point here i suppose is that "no" is not a bad word. not only are we telling him "no" outright to some of his suggestions, he can tell us "no" too, and we respect each other's decisions. nobody gets offended or threatened, there are rarely any tantrums. there isn't much "because i said so" coming from us, very rarely do we use that kind of ultimatum; we rather explain and let him see the reasoning behind a veto of some sort. if he puts forward a great case for something he wants to do, even if we've said no before, we'll usually re-think it, if his reason is a good one - or we'll come up with a compromise.
we encourage healthy debate, and he feels like he has some say in the running of our household and his life. not all parents give their children this empowerment, and some prefer to have the ultimate say in every aspect. but a little sharing of the power does the kids a whole world of good. let them start by picking their own clothes, choosing where the family goes on a saturday afternoon, what colour jelly to buy etc. it will grow and grow for you, and your child will feel more independent and respected, and you will learn pick your battles too!