If it's outrageous and unrealistic, still, you let them try. They'll likely fail, but they failed at something they choose to do. To do otherwise is to destroy the player's perception that THEY are in control of everything their avatar does, and that perception is what D&D is all about. In grogg's case, for instance... Grogg's character had an idea: he wanted to jump out this window onto a creature's back. His character (as played by Grogg) thought that this was a good idea, that it was possible, and that it would be worth it. But some sort of otherworldly force prevented him from attempting said feat. That's ridiculous, and definitely destroy's the player's ability to roleplay and feel in control of his character's actions.

If one of my players says that he wants to try to swim through the air, gain enough momentum to break the earth's gravitational pull, and land on the moon, I'll say "Sure, you can try."

I'd make him role a series of str and/or dex check, with an impossibly high DC, to simulate the act of waving his arms in the air like an imbecile. I might through in endurance too. I'd then make them do a series of impossibly high endurance checks as they try to hold their breath and not explode under the zero-pressure of space. If he or she actually made it to the moon, I'd probably land him or her in a really interesting situation. Some sort of alien commune inside of an atmosphere bubble, maybe.

Aaaanyways, the point is: never say no to a player when he or she wants to try something. Instead, let them try, and suffer whatever consequences come from it, even if it is just failure. And occasionally give them something to reward such behavior.