Well there is a little known thing called a float down rate, some lenders will bring it down to current market conditions so as not to lose the money they have sunk into the process so far if you go with a different lender. This usually only applies if there was a large change in rates. As Aaron says below you both made an agreement on that rate, you locked in a rate that you were satisfied with at the time and unless you are looking at a large difference I would stay the course. Remember if you decide to walk away and go to another lender for a lower rate there may have been changes in your credit or other things that could cause you to not even qualify with another lender.

Probably not. You agreed to a set amount and terms at that time, which is what the bank then set aside for you for closing the refi. If the rates went up would you expect them to pass on the increase to you?

You can always threaten to walk from the refinance if they don't drop the rate but they guaranteed to honor the rate you agreed to before and my feeling is you should do the same.