Before I get into how to lessen the blow to his ego, consider the following:
- Recognize that you like being hit on. A lot of girls that say they don't want to be hit on, when what they actually mean is that (a) they don't like having to reject guys they aren't interested in, or (b) they don't want guys to expect them to dance or kiss or go home with them. The actual act of being hit itself on is a pure ego boost, and I've never met a woman who doesn't enjoy this part of it. By acknowledging this fact, you will be better-able to recognize when you are encouraging men's approaches for the sake of your own ego, as opposed to doing so out of genuine interest in him.
- Don't worry about his feelings too much. While everyone has an obligation to be polite, you definitely don't owe him your attraction, and you don't need to baby him. If he can't handle rejection, he needs to learn how to. Consider your rejection a test of his manliness, and try not to worry about his feelings too much.
- Stop the interaction early if you realize you aren't interested in him. The less time you spend talking to someone, the less surprising it is when you end the conversation. But if you are trapped in the conversation (in a group setting, for example), you can...
- Steer the conversation away from personal topics. Focus instead on talking about superficial things, like what is happening around you, how busy the bar is, the lighting, etc. When you don't like a guy, think of your conversation like a hole you find yourself in: the less depth there is, the easier it will be to get out. Steering a conversation involves withholding your feedback on the things you want to avoid discussing (you should actually stay silent or give one-word answers) and then picking out things from his comments that you want to talk about, and playing them up - or else introducing your own topics.
- If he bought your drink and you accepted, you do owe it to him to stay until your drink is finished, unless he is inappropriate in some severe way (touching you, for example). You don't need to stay until he finishes his, but don't slurp yours down either. A polite exit will sound like this: "Well I enjoyed talking with you, but I need to go find/talk to/dance with my friends now. Thank you for the drink. I hope you enjoy your night." It is important not to start or end these statements by thanking him for the drink, since this will place too much emphasis on the fact that he paid for it, which could make you sound like you are just fishing for free alcohol, and piss him off. But if you are polite and he is upset that you leave, that is his problem, not yours.
- If you are a nice person, you don't need to worry too much. That is to say, if you are actually concerned about how to reject a guy kindly, you are probably already doing it as kindly as you will be able to. Focus most of your efforts on #2.