Snap-On (Blue Point) markets an easy out which is made by Ridgid. These easy outs are a stem with 'flutes' on it. The flutes bite the bolt you are backing out. The kit I have has drill pilots that allow you to perfectly center the drill bit. After you drill the hole in the bolt, you drive the extractor into the hole and slip the driver over the extractor. The driver is SAE hex sized and you can rock the broken off piece back and forth to loosen it up. This is something you cannot do with a regular easy out.
These are not real expensive (less than $40, I think) and would be worth your time to have around.
