sometimes even heat from my little gas torch isnt enough and the head still snaps off - then i use a dremmel to cut as deep a groove into the screw as possible, thru its centre, heat it again, and try to get it out with a flat headed screwdriver. this normally works, but u end up with a cut in the surrounding area around the screw, and sometimes even this doesnt work and u end up having to drill and retap the hole...

i have managed to drill out a few m3 screws with a 2.5 or 3mm drill bit (i forget), only just damaging the threads around the screw a little, and then got the rest of the old screws threads out by forcing a new stainless screw in its place, backing the screw out, removing some old threads, then repeating over, til it all came out. i managed this 3 times on my alloy brake seat... but i wouldnt like to try to repeat the exercise, although i now have yet another screw snapped in the seat - dammit - who makes decent screws nowadays, it was stainless rcscrewz that have all snapped on me.

my advice would be to replace any screws that snap with titanium ones if poss, its worth the cost to avoid the hassle again