I have this problem too, and my 20-month old DD is, shall we say, persistent. I try not to use the "you're upset - hey look at that shiny object over there" method, but even when I've tried it in desperation it seems like she's got the distraction game figured out and doesn't fall for it. What I've found that works some of the time is to validate, and then give her something specific to do while she waits, even if it's dumb. Like:
DD: Want grapes.
Me: OK, I'll cut up some grapes for you.
DD: WANT GRAPES! WANT GRAPES! Starts pulling on my leg.
Me: I'm cutting up your grapes. Can you go give the dog a pet while I cut your grapes? -or- Can you go touch the couch while I cut your grapes?
She often gets absorbed in something on the way back from the task and forgets the original request. This might not work as well when you're talking about a comfort thing like nursing or massaging, but it might give you a break once in a while!
I'm also working on saying "no," and not feeling bad about it. It's a hard transition from satisfying baby's every need and desire to saying "no" and sticking to it! She's still my tiny baby and I want her to be happy! But I think it's important to start letting them discover that they can be denied something, be disappointed, and get over it.
-Ecstatic mommy to amazing DD, 2/07 :