There are two ways I would handle a situation in which someone refused me service because of my sexuality.
One: If they were straight jacka**** about it and were disrespectful, I would leave, and proceed to tell all my friends and their friends and so on and so on about their horrible customer treatment, and would never go there again.
Two: If they were polite about it (like it seems this man was, from reading the article), I would thank him for his time and politeness, and find another business that can meet my needs.
EVERYONE is allowed to have an opinion, and as long as that they exercise it in a way that DOES NOT HARM anyone else, the government has no business stepping in. If you don't support gay marriage, that's fine. I don't support your view, but I support your right to have it. If you own your own business and politely state that you don't want to make a cake supporting that, ok. No harm done. Now if you start telling them they are damned and going to he** and punch them in the face...I might have a problem with that! But that's not the case here, and I think the state way overstepped its boundaries.
This is a free world. If you don't like what a business stands for, don't contribute to them. If enough people feel that way, it'll hurt their business, and maybe they'll change their stance down the road. But that is their right. There are plenty of other business that will gladly, and happily, take your business.
I work for a business that, even though same sex is not legal in my state, does extend benefits to same sex couples who are married (in any state). If this was a huge deal to me, and the company I work for didn't offer this...guess what...I'd get a different job.
While I have never been turned away from a business for being gay, I would have no problems with someone respectfully declining my business because it conflicted with their religious views.