You should do your 'turn down' in a professional and formal way. Be truthful and let them know why you chose the other job - ex: "I really appreciate your offer, but I have decided to take a position with XYZ company instead because it is 20 miles close to my home" or ". . . because they have offered me a significantly higher salary". This information is actually very valuable to the organization (that you turn down) because it gives them information they can use to improve their future recruiting efforts. It won't affect any future employment possibilities.
Do you know who should we call? HR or the manager that hired us? I actually am in the same position. I have accepted a job that is 2 hrs away from where I live, in writing, got my physical exam done, drug screening and everything. This job will start Jan 21. but today I got another offer from a hospital that is 30 mins from my home. I just feel bad to tell them I won't be joining them because I got another job that is much closer to home, bc they did ask me about commuting during the interview and I even told them that I will stay with a friend and if it works out I will move. I just feel like I lied to her or something