Mark Schauer, the Democratic nominee for Governor of Michigan this year, voted in the Michigan Republican presidential primary on February 28, 2012, according to this story.
Technically, Schauer is not yet the Democratic nominee for Governor. The primary is August 5, but he is the only name on the Democratic ballot so inevitably he will be the Democratic nominee.
Michigan did have a 2012 Democratic presidential primary. The only choices on the ballot were Barack Obama and uncommitted. Thanks to PoliticalWire for the link.
Michigan does have open primaries . . . with the occasional exception of some Presidential primaries, which seem to be constantly in flux and in play. In fact, but for a law passed by the R-controlled Legislature just in time the 2012 primary, nobody would know which Presidential primary Schauer (or anyone else in Michigan) had voted in. A similar law in 2008 was overturned in a court case brought by several of the alternative parties and some other parties.