"My oath to support and defend the Constitution, my duty to the people who have chosen me to execute the powers of their great office and not to relinquish them, and my duty to the Chief Magistracy, which I must preserve unimpaired in all its dignity and vigor, compel me to refuse compliance with these demands."
President Grover Cleveland, Special Message to Congress (Mar 1, 1886). The "demands" involved a congressional request for certain documents.
UPDATE: There is also Andrew Jackson's Veto of the Second Bank of the United States:
"Each public officer who takes an oath to support the Constitution swears that he will support it as he understands it, and not as it is understood by others. It is as much the duty of the House of Representatives, of the Senate, and of the President to decide upon the constitutionality of any bill or resolution which may be presented to them for passage or approval as it is of the supreme judges when it may be brought before them for judicial decision."
UPDATE 2: In 1863, the Indiana Supreme Court explained: “The President does not derive his war power from his oath to support, protect, and defend the Constitution.” Griffin v. Wilcox, 21 Ind. 370 (1863).