@phoog is correct that the original EEA also has sectorial guillotine albeit called "right of reservation". It was made more explicit in the Schengen extension. According to a 2012 report commissioned by the Norwegian government:
Norwegian authorities can seek special adaptations or exemptions from EU rules. Moreover, Norway and the other EFTA States must vote on all the new laws that are taken into the agreement. Formally speaking, the Norwegian authorities can refuse to do this, and so is not bound to do so. This is what is called the “right of reservation” [opt out], or sometimes the “right of veto”.
In practice the latitude that these possibilities offer has turned out to be extremely limited. When new laws are adopted by the EU and incorporated into the EEA Agreement this is done through a process within the EFTA Secretariat and in the EEA Joint Committee and its subcommittees. Here, purely technical adjustments occur, which entail that references are changed from “EU” to “EEA” etc. But it is very difficult to get the EU to accept substantial adjustments or exceptions that break with the principle of homogeneity, and it has become more difficult over the years. Iceland and Liechtenstein have, it is true to say, gotten a number of exceptions with respect to the fact that they are so small that a number of the EU rules simply are not relevant for them, in addition to exceptions based on Liechtenstein’s relationship to Switzerland. But for Norway, being a state of a more normal size, there is no claim to this. Through the entire period of 1992-2011 Norway has only gotten 55 material exemptions, amongst more than 6000 new pieces of legislation, and most of these were agreed many years ago. In practice, the possibility of opt-outs is not compensation for the democratic deficiencies of the EEA Agreement.
And neither is the right of reservation. In the 18 years that have passed since the EEA Agreement entered into force none of the three EFTA states have voted against a single of the 6000 new EU legislative acts that have been incorporated into the agreement. If a Norwegian political party wishes to do this, it would normally be put on the agenda for hearings in the Storting’s European Affairs Committee. A review of all of the hearings from 1994-2011 reveals that in 18 years there were only 17 cases where use of the right of reservation was tabled, but never with sufficient support to pass through.
Even if the existence of the right of reservation is viewed to be important for political and constitutional reasons, and even if the EFTA States at any point in time are free to use it, it has never been viewed as a routine measure for use by the EFTA States to reject laws that they do not like. Any veto would be a breach of the basic principle of homogeneity. Moreover, the EEA Agreement is constructed so that EFTA States cannot simply deselect parts of the Agreement in which they would otherwise participate. Use of the right of reservation will according to the procedure, lead to the relevant part of the agreement (defined as the effected part) being taken out of force, unless the EU decides otherwise. It seems that in the EU the attitude to the right of reservation has if anything become more restrictive throughout the years.
Under the Schengen Agreement, there is no right of reservation, just a Guillotine clause. Here too, Norway formally must vote for the adoption of new legislation from the EU, and up until now this has happened 158 times since the agreement entered into force in 2000. But were Norway to vote against a new legislative act, the entire agreement would collapse. Under the Schengen Agreement there is no special possibility for exemptions and adaptations
And from a more recent (2015) source, Norway actually tried to use this right of reservation over some postal directive, but the source is not clear on the ultimate outcome. Actually, the BBC says that Norway eventually relented on that too after a change in government.