The thing that I've found to work best is left handed drill bits. There is a way to use a cutting torch (I've used this method, but guess I'm just not good enough with it) & I've tried screw/bolt extractors, but I've had them break. Thats a REAL pain in the *ss! However, the left handed drills have always pulled the bolt out. You have to look around a little to find them (they usually come in a kit) & they can be spendy, but are definately worth it. I've had mine for years now & while I don't use them every day, they paid for themselves many times over. Just a thought.
Edwin