Rustoholic's suggestion brings to mind another option. Sears sells a product called Craftsman "Screwout"
link which is a set of stubby bits that work like a left handed drill bit. I have a set of them and they are moderately successful, but a really rusted screw usually defeats them. That's why I typically use the "drill the head off" method.
I've broken off too many screw extractors that need a hole drilled into the screw shank. Taps are pretty brittle as well. Once a screw extractor or tap is broken off in a hole, it's there for good in my experience.
