I actually have to do it rather regularly, since some women are convinced that I can be won over by persistence, or I'm just playing coy; just to screw with your preconceived notions even further, a fair amount of them were pretty, kind, and sane. It's not as fun or empowering as you'd think, even if you spent a good deal of your life being rejected yourself. That is, unless you're sadistic enough to enjoy stamping on the hopes of people willing to make themselves vulnerable to rejection (which I'm not). It's actually given me a fair amount of sympathy for women that have to do the same, because it's actually a very uncomfortable position to be put in by a friend that you're counting on for stability.
By the way, OP, if you believe that all women are highly selective and constantly vying for control, you need to start paying attention to the women you're not actively trying to bed; y'know, the ones that aren't as pretty as the girl you think can be won over by being the polar opposite of the "jerks" that she clearly has a preference for. Yeah, the exceptionally attractive ones can be as choosy as they please, but a normal woman that hasn't been given constant attention by her peers and a horrific sense of entitlement is very much the same as you; the only real difference is societal pressures that basically force her to choose between acting like the horribly double-standardized definition of a "lady", or acting as a rational human being that will be unfairly categorized by her peers because she refuses to abide by the value-determined-by-aesthetics hierarchy. I know there are some women that get off on rejecting people, but they're a mirror image of the asshole males that cheat on their girlfriends for no other reason than to brag to their buddies about how much ass they get; they are the exception to the rule, and if you can say that all women are that way, but get defensive whenever a woman says "all men are cheating dogs", congratulations: you're embracing a horribly unfair double-standard.