Nullification is a dirty business. The state rarely prevails. The best result for states versus the federal government was probably the first major one, which I believe was over tariffs. Andrew Jackson got into office and cut a compromise that pacified South Carolina, which had led the charge.
The Fugitive Slave Act of 1850 (which said that fugitive slaves caught in the North could be returned to their masters in the South) led to another crisis, as Wisconsin and then Vermont nullified the law. Vermont went so far as to pass a law mandating that local officials help fugitive slaves escape. The Supreme Court overruled Wisconsin but the Vermont nullification was never resolved, as the Civil War -- which in a way was the ultimate nullification crisis -- started a few years later. The Civil Rights era featured a number of crises centering around nullification, obviously. The federal government ultimately forced it's will on several states, especially Mississippi, Alabama and Arkansas.
Either way, arresting federal officers would a silly idea, guaranteed to backfire around the country. This all sounds to me like bluster designed for Obama to make a decision on federal enforcement before he does anything. Is he really prepared to send infantry to Wyoming to enforce an executive order?
In practice, jury nullification (local juries ruling in favor of those that defy the federal law) is a better strategy to achieve the desired end. Force the federal government to take the next step. Arresting federal officers is skipping to the end unnecessarily.