When I first saw this thread I immediately thought of Ron Chernich's web site and this bit he wrote about this subject:
How-To Remove Broken Taps ...or... Making and Using a Basic EDM
http://www.modelenginenews.org/meng/edm/index.html
I have read a bit about EDM and have considered starting to sort through my "junk pile" for suitable components and start to collect other suitable bits to build such a device. It isn't happening too quickly mind you. There seems to lots of easy found info on the net, more of a matter of just sitting down and doing it. I guess I just can't think of anything I really need one to make yet so it remains a passing fancy for the moment.
Incidentally for anyone who has never had a look at Ron Chernich's web site, it is well worth spending the several hours just taking a quick look at if you have any interesting in model engineering and model engines in particular.
cheers, Graham