There is another way if the head is stripped out beyond hope after you've tried the other tricks. (Have you tried a tapered screw extractor in it - such as an EZ out?)

Select a drill bit that is slightly larger than the diameter of the shank of the bolt (But usually smaller than the diameter of the head) - a guideline for the drill size is a size or two up from the Allen key size - if you are using a 3mm allen key use a 3.5mm drill bit. Slowly and carefully drill down into the screw head until the head breaks off the screw - make sure that the drill is in line with the centre line of the screw.

Once the head comes off - you can usually take whatever it is that you are trying to remove off over the shaft of the screw and then you have something to grip on with a good set of pliers or vise grips to remove the broken one.

I actually have a few Left Handed drill bits in my collection (Yes they turn the other direction to normal) and these often work in such a case before the head gets drilled through.

Otherwise - Good luck with it - they can be a bit of a nuisance really.