Heat it first like DR1 said, next try a ***** punch to tap it loose, if it is persistant I usually use a left handed drill bit that way if it does break loose it winds itself right back out when the bit grabs it. If it never grabs than continue till the head is gone and proceed like the others mentioned.

The ***** punch and LH drill bit are two of the most successful methods I have used in my 25 years in a machine shop to remove stubborn/broken fasteners.