The drill press method that Wild Skies discussed is what I've done and it works great. However, be careful, I tried to remove a stuck screw with a drill press and split the top of the screw into two pieces. Of course then I was able to pull the piece off and clamp a vice grips to the stub. Unfortunately, I still had to have a new screw machined. All I'm saying is that the method works great, but you still better be careful.
Steve

Approach life like you do a yellow light - RUN IT! (Gail T.)