I have never told my director no. I believe that my director knows better than I do and I follow what they say. Also, as a whole, I agree with my director's moral values. In our production of Romeo and Juliet, I basically made out with Juliet for a solid 15 seconds. I don't mind saying yes to my directors.

Sometimes you have to stick up for your character and tell your director "I dont think that is right." Of course you will have to defend your position, but remember you are your character's best advocate.

I don't think I've ever had to tell my director a straight-up no within the context of a show, but if something didn't make sense, I've told her that. In general/ with regard to the club, there have been occasions where I've had to tell my director that I didn't think something was going to work, and we talked it through and came up with, what I hope is, ultimately the best solution.
It's always best to have a good relationship with your director, where no matter what, you feel comfortable talking anything through with her/him. A good director will be understanding of anything you need to bring up, and something that works for both of you should be possible.