If I asked for a pay rise in my job, I'd get laughed at and be looking for a new job very quickly lol
Why?
It depends on how it's approached - I don't think it would come accross like that if done tactfully.
Also, nicely done!
Like I said, if you've asked and its been turned down I don't know how it can be done tactfully to say you started looking for new work. If you were in a position and said a company had approached you and offered you more money (with out asking for a pay rise first) I think that would work.
But like I said thats just my opinion and I've seen it done a few times and just think its a crap way of going about it.
Cheers
couple of job jumps and 5 years, in a pretty healthy position at the moment 
KaHn