I've not done that, but I've considered it. It drives me nuts that if I just happen to talk to someone, turning down their request leaves me with a "Listen to X's proposal" in my journal. Not all of my characters have been interested in stealing that stupid horse, Mr. Louis LeClone.
I'm doing it so far in this game with the Daedric quests I don't want to comply with. WIth the Namira quest, I just selected the one dialogue option in the Hall of the Dead that caused Cannibal Girl to turn hostile and killed her then and there. I may get over to that dungeon on my own, who knows, maybe it's partly closed off because I "failed" that quest, but I've been through it twice already so who cares?
With Molag Bal, I went in the abandoned house to stop the Vigilant from constantly accosting me about whether or not I've noticed anything. I let him go nuts and attack, not like I wanted to kill him, but hey - I did it in self-defense and my PC meant no harm when she walked in there, she was just trying to help out. She told the Prince she wanted nothing to do with him, he sends her off to find some priest of Boethiah for him... well, the Boethiah cult is already on my list of things to eradicate from Skyrim, so I found the priest and then killed him. Quest "failed" and out of my journal with the bonus that I've offended two Princes I despise instead of just the one.

It will be trickier with some others, they just may have to sit as unfinished in my journal forever, but at least some of them are out of the way to my satisfaction.
I think I screwed up the Frost quest, though, I talked to Maven before I went to the Lodge and then the journal updated to say I had the papers so I thought somehow she'd given them to me. So I just went and got the horse and used the key SIbbi gave me to empty the strongbox, now it dawns on me that it was glitched and I was suppsed to get the papers at the lodge as well. I have been riding Frost off and on ever since, I use the Horse Branding mod so I just branded him as "mine" and AFAIK it did not register as a theft when I took him (if it was supposed to, I dunno, never did this one before).
Wondering though if I need to reset the quest back a stage or something to where I don't have the papers, and then go get them. I just want it out of my journal and I don't think it will be marked complete until I actually get the papers, but the journal says I already have them so... I've already got the thing in there from the quest with Roggvir's amulet that I can't get rid of, which: argh.