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.