Yes, there are. I can't unfortunately give you any names or anything too personal. But it was well documented that many members of the SS Einsatzgruppen had issues carrying out orders to kill people. For those who are unaware, the SS Einsatzgruppen were mobile killing squads sent into occupied territory to kill the Jews and other non-Aryans. They were a precursor to the camps, and they were used before the camps were built.
Now the SS moved away from mass executions for two reasons, it was time consuming and wasteful, secondly many SS men refused to carry out orders. The men that did carry out the orders often required alcohol to get through with it. There aren't really any statistics for how many man refused on average, but it was significant enough to cause concern among the SS leadership. As Christopher Browning (author of the popular "Ordinary Men") put it, there were three types of SS men, those who had no issues carrying out the mass killings, those who had issues but used alcohol or other coping methods to carry them out anyways, and finally those who refused outright.
To give you an idea how brutal these killings were, and how much of a psychological toll they took, here is what happened when Heinrich Himmler went to his one and only mass execution:
Himmler became very uncomfortable, very quickly. As the firing squad started, Himmler, was even more nervous. During every volley he looked to the ground. When two women could not die, Himmler yelled to the police sergeant not to torture them
Himmler tried to address this problem by making commanders organize social events and other outreach programs to make the men feel better, yet they were largely ineffective. Here is what a local SS commander, named Eirc Von Dem Bach, said to Himmler about his men's psyche after participating in the mass killings.
Look at the eyes of the men of this Kommando , how deeply shaken they are. These men are finished for the rest of their lives.What kind of followers are we training here? Either neurotics or savages!
The refusal to participate in mass killings was not usually punished. The punishments for refusing to partake in the mass killings would be usually a minor slap on the wrist (a transfer back to Germany,reduction in pay,demotion, small things like that), and that's in the rare cases where was something was actually done. Now soldiers that refused would face criticism from their peers;in the form of people questioning their masculinity and their allegiances. They also wouldn't be looked upon favorably for promotions or any sort of commendation.
Now during the Belzec Trial, there were a few interesting stories that came out, many involving the head of the camp [Christian Wirth] (http://en.wikipedia.org/wiki/Christian_Wirth). Wirth ruled with an iron fist and anyone who dissented was punished. There are multiple stories that came out of Belzec concentration camp. One is that an SS man refused to carry out an execution and Wirth pulled a pistol on him. Or another example, when SS Erich Fuchs was ordered by Wirth to fix shower heads in the newly erected gassing barracks, he questioned Wirth as to why there were showers with no water pipes, Wirth flew into a rage and beat Fuchs; he then ordered two SS guards to take him away and shoot him, they ended up talking Wirth out of it.
Source:
Nazi Germany and the Jews 1933-1945 by Saul Friedlander
[An online source] (http://www.holocaust-history.org/german-trials/belzec-urteil.shtml) on the Belzec Trial
The book "Ordinary Men" covers this question for a police squadron that was responsible for tens or hundreds of thousands of murders of Jewish civilians. I recommend it, it's an awesome book. There was often a minority contingent of men who, when ordered to kill, would refuse, but in all cases the vast majority expressed no reservation.
The book Eichmann in Jerusalem by Hannah Arendt more deeply explores the implications of the proclivity for doing evil under authority, and that is something you should definitely, definitely read if you're interested in this.
In the book Ordinary Men: Reserve Police Battalion 101 and the Final Solution in Poland (I should note that this police battalion was one of the most notorious in terms of perpetrating the Nazi massacres in Poland), the author describes a German police battalion's "initiation to mass murder" in liquidating a polish town (Jozefow) and their reactions and refusals to their orders.
After explaining the battalion's murderous assignment, [the commander Trapp] made his extraordinary offer; any of the older men who did not feel up to the task that lay before them could step out. Trapp paused, and after some moments one man from Third Company, Otto-Julius Schimke, stepped forward. [...] After he had taken Schimke under his protection, some ten or twelve other men stepped forward as well. They turned in their rifles and were told to await a further assignment from the major.
The vast majority who initially took part in the "murderous assignment," soon found ways to mitigate the effects of the horror they were committing. Some hid. Some drowned themselves in alcohol throughout the day (provided by their commanders for desensitization). Some "shot past" their victims - only temporarily averting their deaths. Ultimately, many men had a very human response to being forced to systematically murder an entire town. The terrifying part of this book however, is not how the policemen reacted to their first massacre, but how they became more numb and inhuman in subsequent massacres. I'd highly recommend this fascinating book, but be warned it is a gut-wrenching, horrific, and generally nauseating read.