I really don't like it when people come up to me and ask if I could play their cd. So what is the nicest way of saying no? it bugs the hell out of me (lol).
I have a friend that's a DJ and he goes through the same thing, especially at the clubs. Basically, like Enigma said. As long as you're polite about it, then don't worry feelings won't be hurt.
You can try this, a couple of DJ's i know bring a note book or legal pad, they tell people to write down there requests and when possible they will try to play them. Some guys will cross out the songs on the pad and when the person comes back asking why you have not played the song just tell them you did (thus it is crossed out) and they must have missed it or been in the bathroom. THis way you don't have to play Ice Ice Baby!!!!!
Never did it myself but sounded like a good idea at the time.