Off the top of my head I know Parcells turned down Tampa Bay at least once, Jason Garrett has turned down a few teams recently, Cowher turned down the Jets and the Skins, and Belichick turned down the Jets. I'll see if I can find more.
Apparently Pete Carroll turned down the Skins in 2008.
http://www.sfgate.com/cgi-bin/article.cgi?...9/SPT8UNQDO.DTL
Not a HC but Scott Pioli declined to interview to become the NYG GM in 2007
http://www.usatoday.com/sports/football/nf...g-roundup_x.htm
Scott Sarkisian turned down the Raiders before they hired Lane Kiffin
http://www.sfgate.com/cgi-bin/article.cgi?...SPGUNNNBCD1.DTL
No link but Sean Payton turned down the Raiders a few years ago.
Mike Holmgren turned down Arizona and the Jets before becoming the GB HC.
http://www.sfgate.com/cgi-bin/article.cgi?...SPG9IH42CF1.DTL
Gregg Williams declined to interview with Houston, KC, STL, and Minnesota in 2004
http://www.washingtonpost.com/wp-dyn/conte...6010300765.html