This question caught my attention when you first posted it and then I've been so crazed with stuff needing doing I totally didn't get around to it so I'm really glad you drew attention to it again with the bounty.
Deword makes a number of great points about the fact that kids need boundaries and that ultimately it isn't going to hurt their self-esteem if they don't get their way all the time so I consider this answer really an add-on, but an elaborate one.
I agree that one of the key things to remember is that allowing a child to disagree is not the same thing as allowing that child to always get her way. It is a bit of a tight-rope walk and a balance that must be struck between exposing your child to absolutes.
The way this has worked so far in our home is to allow for seeking compromises or win-wins, but to be absolutely uncompromising about not allowing argument for the sake of argument.
In other words, if I say, "no you can't have a cookie right now." My daughter is expected to either accept the no or respond with a response that disagrees but seeks a compromised solution.
"But I WAAAaaaaant one"
"Okay, mom, are you worried I have had too many sweets today? Would an apple work? I really am hungry?"
My answer to the second might still be no - perhaps she is guessing at the wrong reason, maybe dinner is just minutes away or something, but then, it is just a discussion. In the case of the first answer the discussion is over. At this point in life, all I really need to do to respond to this kind of a response is raise an eyebrow.
By itself, this method will not result in a high self-esteem, but it certainly won't prevent a child from having a high self-esteem and even encourages the kinds of skills that make for good conflict resolutions with all kinds of people in life, the kind of thinking that leads to being the kind of person others want to be friends with, and is conducive to a child with a high self-esteem because it is a method that communicates: "your wants and needs matter too, and should be heard, but they happen in a context that must also consider the wants and needs of others as well as your health and long-term goals and happiness as well as your immediate satisfaction in balance." to the child.
Doc's comment on deworde's answer is another fabulous example of the kind of discussion you can eventually expect from a child that practices seeking win-win solutions.
Your daughter wants to go to a party, you say no, because you don't
think it's safe. They counter with a suggestion that makes it safe
(you can be there, another trusted adult is there, whatever). You
agree that this allays your concern and she can go.
How to make it happen:
You have to introduce the idea of compromise in some way. There are a ton of ways to do this, but I like "The Seven Habits of Happy Kids" best as a direct way to approach the topic with a child. There are tons of kids books that include good examples of the characters in the book needing to come to a compromise. If you are Christian, there are Sunday-School materials about compromise. You can exemplify someone that looks for compromise both in your interactions with your child and in your interactions with other adults your child sees you with (you probably already do). The larger the variety of ways you broach the subject with your child and the more frequently, the sooner your child will start to get it.
The example I gave above is something I expect of my seven-year-old child. Expectations must match both the developmental abilities of the child as well as the fact that this is a skill that must be learned. You can't just set forth a rule and expect a kid to follow it immediately.
After introducing the concept and beginning to discuss why compromise is a good thing to try, you'll want to begin to ask the child to put the concept into action. At the beginning, the parent can only model how to seek a compromise (or win-win) for the child:
"Honey, I understand you want a treat. However, you've already had four cookies. I'm worried you've had too many already. Are you actually hungry? Would something like a few apple slices get you what you want while still considering your health?"
This is basically how I talk to any child when there is a disagreement - even infants get this kind of an attitude from me. "I know you want out of the highchair my darling seven month old, but I really do need to get the sticky syrup off your hands first, then I'll put you down." It may be a little silly-sounding to many, but it has always worked well for me. When they do start talking, they already have a ton of examples regarding how to express what they want and hear what others want.
Over time, when an unacceptable answer is given you can ask questions like:
"I understand you really want the cookie. You aren't talking to me in a way that is going to help you get it though. Why do you want the cookie so badly? Is there a way you can have the cookie at another time or is there another food that will work to help you feel less hungry?"
"Hmmmm. . . That doesn't sound like someone trying to figure out a compromise - do you want to try again?"
Over time, even that will shorten to, "You'd better try again" and the eventual, eyebrow raise that says it all.
Hope this helps somewhat as cursory an answer it is. I could write a book if I included every age and stage and possible example, but if there is something more specific that would be of help, please ask.
I need to make it clear though, the parent is still owner of the house, money giver, and adult with experience beyond that of the child's. Being open to discussion, doesn't mean you always agree to a compromise and there will be, and should be times when you pull the "parent card" because you can and need to. There are some things that are simply non-negotiable, hopefully these usually relate to safety, health and morals. When you find a compromise, you are allowing her to get some of what she wants. When you pull the parent card, you get your way. On occasion, its okay to relinquish and decide to let the child have her way too (but this should be far less common than compromise and either equally common or, better, less common than the pulling of the parent card and only when the child is being reasonable about it and can be "rewarded" for good behavior of late, above and beyond performance on chores, school or something else that took a great effort. . .