Proofs are usually constructive or existential. For example, we know there are an infinite number of primes, and therefore the centillionth prime exists. We don't know what it is, though we can make bounds on its location.
Are there any existential proofs where it has been proven that there is NOT a constructive proof of the same fact?
Certainly, there are many such situations. For example, given a continuous function $f$ on $[0,1]$, it is known that a maximum of $f$ "exists". However, the proof relies essentially on an argument by contradiction, whose key ingredient is the law of excluded middle. It can be shown that such a maximum could never be constructed without reliance on the latter. See e.g., Constructivism in Mathematics. By A.S. Troelstra, D. van Dalen (http://www.google.co.il/books?id=-tc2qp0-2bsC&source=gbs_navlinks_s) Thus, in an intuitionistic framework, one cannot rule out the existence of a real $a$ such that it cannot be shown that $(a\leq 0)\vee (a\geq 0)$. Now consider the function $f(x)=ax$. If we could find a maximum of $f$, we could also pin down the sign of $a$, which is impossible as per above.
This type of construction is known as a Brouwerian counterexample in the literature. Of course, the first theorem "refuted" in this fashion is... Brouwer's fixed point theorem :-)
The counterexample above is discussed in Troelstra-van Dalen on page 295 which unfortunately is missing from the online version.