Actors and Actresses that turned down or did not get the role in a movie or TV show where they were the first choice include:
George Raft as Rick Blaine in Casablance (Humphrey Bogart - like we didn't know that)
Mark Wahlberg and Jaoquin Phoenix in Brokeback Mountain (They reportedly passed because they were "a little creeped out" by the sex scenes)
Robert Redford in the Graduate
Chevy Chase in American Beauty (Chevy Chase was reportedly considered for the role of depressed suburban dad Lester Burnham before Kevin Spacey )
Matthew Broderick in Family Ties (Though Michael J. Fox eventually landed the role of Alex P. Keaton on the 1980s sitcom, it was Broderick that the studio and network initially wanted)
Molly Ringwald in Pretty Woman (...was originally offered the starring role as Pretty Woman's endearing prostitute, but reportedly turned it down)
Ernest Borgnine in The Godfather (...Brando wasn't the original choice. Academy Award-winner Ernest Borgnine was an earlier candidate for the now legendary role.)
Tom Selleck as Indiana Jones (this is fairly well known. at least I knew this one)
link:
http://www.forbes.com/2008/02/26/hollywood-movies-celebrity-biz-media-cx_lr_0226starmisses_slide_2.html?partner=omgother notables
Myrna Loy turned down the role of Ellie Andrews in "It Happened One Night" and the role went to Claudette Colbert
Burt Lancaster was chosen over Humphrey Bogart to play "Doc Delaney" in Come Back Little Sheeba
Julie Andrews was the first choice for Eliza Doolittle in My Fair Lady, but the role went to Audrey Hepburn
Bette Davis in Gone With The Wind (She refused to do it because she heard Errol Flynn was going to be Rhett Butler)