Frequently.
Newfoundland and Labrador
The most recent example might be Newfoundland and Labrador, which in 1949 voted to join Canada as its tenth province. A Dominion from 1907, the Newfoundland Legislature voted the country out of existence in 1933 when collapsing fish prices led to the threat of default on its World War One debt. This returned the country to colonial status governed by the Newfoundland Commission of Government appointed by Westminster.
In 1949 a two-phase popular referendum voted on the second ballot to join Canada, by a margin of 52.3% to 47.7%.
Although the Dominion of Newfoundland never ratified the 1931 Statute of Westminster, which formally ceded full individual sovereignty to the British Dominions, it did participate fully in the Imperial Conferences of 1926 and 1930 at which the agreement in principle on the terms of the Statue was reached between Westminster and the Dominions.
The Thirteen Colonies & Vermont
However, a more succinct example might be the Thirteen Colonies. Following their victory in the American Revolution, the individual States all retained complete sovereignty while attempting to act and operate in a unified manner, under the Articles of Confederation, through negotiations of the Continental Congress. This was, rapidly, a complete and utter failure; and led to the development of the United States Constitution. As each sovereign State ratified the Constitution, by vote of its legislature it in effect voted itself out of existence as such and became only a partially sovereign State in the United States.
The same argument of course holds for the Republic of Vermont, which existed as a sovereign state from 1777 to 1791.
This ratification, and consequent surrender of sovereignty, has been shown both de facto (by the American Civil War) and de jure (SCOTUS on Texas v White (1869)) to be permanent.
Texas is a more complex example, covered in another answer.
Lübeck, Bremen and Hamburg (Hanseatic Free Cities)
Through the course of 1866-7, during and following the Austro-Prussian War, the last three Hanseatic Free Cities of Lübeck, Bremen and Hamburg first surrendered military independence to Prussia, and then acceded economic and legal sovereignty to the North German Federation (effectively the Prussian Empire). While it is certain that there was suasion and coercion involved in both circumstances, in the end all three governments approved the negotiated terms. While formal dissolution of nominal independence would not occur until 1933, any notion of sovereignty had been surrendered in 1867 just as surely as it was by Bavaria, Baden, and the other German States in 1871.
Seven United Provinces of the Netherlands
By the 1581 Act of Abjuration the rebelling provinces of the Netherlands jointly declared that in failing to uphold his obligations to his Dutch subjects, Philip II of Spain had "forfeited his thrones as ruler of each of the provinces which signed the Act". This act was simultaneously a declaration of both independence and full sovereignty by each of the provinces signing the Act:
Full English text
The States General of the United Provinces of the Low Countries, to all whom it may concern, do by these Presents send greeting:
As it is apparent to all that a prince is constituted by God to be ruler of a people, to defend them from oppression and violence as the shepherd his sheep; and whereas God did not create the people slaves to their prince, to obey his commands, whether right or wrong, but rather the prince for the sake of the subjects (without which he could be no prince), to govern them according to equity, to love and support them as a father his children or a shepherd his flock, and even at the hazard of life to defend and preserve them. And when he does not behave thus, but, on the contrary, oppresses them, seeking opportunities to infringe their ancient customs and privileges, exacting from them slavish compliance, then he is no longer a prince, but a tyrant, and the subjects are to consider him in no other view. And particularly when this is done deliberately, unauthorized by the states, they may not only disallow his authority, but legally proceed to the choice of another prince for their defense. This is the only method left for subjects whose humble petitions and remonstrances could never soften their prince or dissuade him from his tyrannical proceedings; and this is what the law of nature dictates for the defense of liberty, which we ought to transmit to posterity, even at the hazard of our lives. And this we have seen done frequently in several countries upon the like occasion, whereof there are notorious instances, and more justifiable in our land, which has been always governed according to their ancient privileges, which are expressed in the oath taken by the prince at his admission to the government; for most of the Provinces receive their prince upon certain conditions, which he swears to maintain, which, if the prince violates, he is no longer sovereign.
In the immediate aftermath of the Act, the United Provinces investigated various possibilities for a new Prince, including the Duke of Anjou and William the Silent, and of being an English Protectorate without obtaining any satisfaction. In 1588 the signatory provinces of the Act of Abjuration united as a confederacy, the Republic of the Seven United Netherlands or United Provinces for short, each voluntarily surrendering sovereignty.
What comprises sovereignty?
A key aspect of this question, and of any answers, must be the precise definition of sovereignty used. In my opinion a fully sovereign state must hold full authority over its own:
- Currency;
- Trade Treaties;
- Legal structure and Laws;
- Taxation;
- Governmental Structure;
- Citizenship;
- Foreign Policy; and
- Military Forces
An entity that possesses only partial authority over any of these has surrendered part of its own sovereignty, as well as part of the natural sovereignty of its citizens. If in exchange the state and its citizenry acquires a pro rata participation in the equivalent governance of a larger entity, that surrendering is possibly worthwhile.
The question is raised in comments below as to the sovereign status of the Hanseatic Free Cities immediately before and after their accession to the North German Confederation in 1867. my position is that, the temporary interruption of the Napoleonic era notwithstanding, the ability of the Hanseatic Cities to wage war and negotiate treaties against the Emperor, as well as other foes, through its long history is full evidence of full sovereignty.
However, as part of acceding to the North German Federation in 1867 the Cities of Lübeck, Bremen and Hamburg all fully surrendered control over:
- Currency;
- Trade Treaties;
- Legal structure and Laws;
- Foreign Policy; and
- Military Forces
in return for participation in the same of the Confederation, and retained only partial control over their own:
- Taxation;
- Citizenship; and
- Governmental Structure.