Have you tried asking friends at other universities? For some time I was a member of two unis and quite often if I couldn't get something from one library I had access through the other. I was quite a favourite in the lab because everybody wanted me to check if I had access to whatever obscure article they were looking for.
If you name the journal I wouldn't mind checking for you now. You never know...

Thanks to everyone. I feel a lot better about this after reading your comments. I decided to give myself until next Monday to think things through one last time and then I'm going to be brave and call them up.

shanghaichica - I hope everything works out for you

Thanks for the advice. As much as I realise that I am in a very privileged position, this is still an uncomfortable situation and I want to handle it in the best way I possibly can. I think following up that inevitable phone call with an e-mail is a good idea.
Goods, it's right I'm not starting until October, so I am sure they will be able to redistribute the funding. I have however been signed up for this studentship since February and because of certain issues I will not go into further, I have been frequently in touch with the people at X to sort out things, and they have been so extremely helpful that I now feel very bad about letting them down.

Until last week I was planning to start my PhD in October at University X but last week I was offered another PhD position at University Y and I would really much rather go there.
Has anyone got experience with turning down funding pretty much last minute?
I did not apply for the second position (it was offered to me by a former supervisor who did not have PhD funding before). Both X and Y are really good opportunities and I don't want the people at X to believe that I am ungrateful for the offer they made me. Also, the supervisor I will be turning down is somebody I am very likely to meet at conferences etc.
Any comments would be very helpful.