Isn't there a huge monetary penalty for that? I think the last it happened was with Eric Lindros.
Edit:
Seems it only affects the player in lost ELC money until he hits UFA, which seems to be 4 years after being drafted, if not signed.
The latest appears to be Mike Reilly, who refused to sign with Columbus:
Mike Reilly informs Blue Jackets he won't sign, hits free agency
So I guess the main reason why it doesn't happen all the time is because it's a huge risk for the player himself. If he gets injured, or slumps, he might miss out on the NHL permanently.