First we learned about saying no in a relationship. Here is your second lesson.
They will not fire you for saying no.
Odds are, unless your job is exceptionally shitty, your boss will not fire you for saying no. It is important to say no once in a while so people don't walk all over you. If they know that you will do anything they ask, trust me, they will ask. This goes for your coworkers, as well. Yes, you want to be helpful and proactive, but you don't want to be a schmuck.
Know your rights, first off. Know what your job description is, what you agreed to when you were hired, what your company policies are, and what your state laws are. These are all important resources for learning to say no. You probably won't need all this information, but you should know how to get it, should you need it.
Here is a good example of saying no, especially to a superior. At my job, if you want me to order something (pens, beakers, whatever) you need to fill out a short form. It is basically your name, what you want ordered, and how many. This serves several purposes: there is a record of you wanting it and me ordering it, it won't get ordered twice, and when it comes in, we know who needed it. Very often someone will come up to me with a scrap of paper, a post-it, or an empty box. Sometimes they have none of these and just expect me to memorize their order. I tell them to put it on the list. If I lose your scrap of paper, I don't want to be responsible, so put it on the list. Some people find this a major inconvenience so they will find someone who will accept their empty box. Sure, some people get angry, but the system is in place for a reason. Ideally, everyone would say no and they would be forced to use the form, but not everyone is comfortable saying no.
This example is minor and more likely to be something you might see daily. A more extreme example is if your boss wants you to work off the clock. No! No! No! Not only is this illegal and could get everyone in trouble (what if you get injured while off the clock?) but you are not volunteering your time. You get paid to work. If you are an hourly employee never work off the clock. Let them try to fire you for it.
What if something is not in your job description? What if they want you to take on more responsibility but without a raise? You need to know the line between being ambitious and being used. Given work a little outside your boundaries can be good, it may result in a raise or promotion, but if you are essentially doing the work of a manager and not being paid as one, you need to say no.
I caused quite a stir at my last job. I went through "Team Leader Training" in order to get promoted to team leader. I finished the course and was offered the job. I said "Yes!" Then I got the details: there would be a three month probation period where I would be the team leader, but not get the raise. At the end of the three months they could either offer me the job and I'd get the raise, or not offer it to me and I would go back to my former position. So, I would be working for three months for free (well, without the raise) with no guarantees I'd even be keeping the job. If I had been hired from outside, would they have not paid me for three months? Of course not.
Anyways, I said no to the job, which no one had done before and they were pretty pissed about it. They did spend time and money training me. I then told my friends why I declined the job and they, too, turned down the position. I didn't change the world, but they did change their policies.
In closing, you have to learn how to say no. I'm telling you - they are not going to fire you because you can't work late tonight. Trust me.