Oh, boy. I feel like this topic is ever-present in my life. Sometimes I'm great at saying "no" and proud of myself and other times I feel gross and then ruminate on everything I did wrong and how the person hates me now for saying "no".
I'm originally from Michigan, so I'm Michigan Nice plus indecisive. This does not make a good cocktail for saying "no" to things I don't want to do, because sometimes I'm not sure if I want to say "no" yet which makes me look like I actually want to say "yes"! I've lived in the Seattle area for about 14 years now and I've found that there are some people who communicate and operate like I do (because there are lots of transplants like myself), but the general vibe seems to be passive-aggressive. People don't generally mean what they say, so you really have to listen for the soft "no".
I wait tables as my "real job", and the biggest issue that I have with my Midwestern Niceness is that I'm a pushover. The squeaky wheels get the grease (aka the bigger and/or better sections, get tables sat in their section more often, etc), but all the other employees hate them because they're mean and rude to get what they want. Saying "yes" to myself is not as simple as just saying a firm "no" and closing the door or hanging up the phone. And my manager is very passive-aggressive. Even if she had a problem with me it would never be brought up, it would just be reflected in something else. (I've been with the company for 8 years and worked directly under her for at least 6 of those years.)
So, I feel like a big part of learning to say "no" is directly related to sticking up for yourself and training yourself not to be a pushover so you don't get walked all over.
Not directly related to the rest of my post, but my favorite excerpt from one of the articles that Stacy linked was this:
"Saying 'no' is your battle shield for deflecting distractions, staying true to yourself, and sticking to the course. Every time you agree to do something you do not believe is right, or want to do, it beats you up mentally. I know firsthand. People like to see progress. To create. The creative process is handicapped when you are playing dodge ball with bull[poo] you wish you had never committed to. Trust your gut—your brain will thank you."