I've had more failures than successes but the best luck i've had is 
with a kit from Blue-Point.  The kit comes with various size 
extractors and for each extractor it includes a sized drill bit and a 
wrench collar.  I'll explain.

the extractor is a hardened steel rod with 4 ridges spaced 
equidistant from each other.  one drills a hole thru the bolt, tap in 
this rod, and then place a wrench collar over the rod.  the collar 
grips the rod by these ridges, which also anchor the rod in the bolt. 
 i've broken several of the smaller rods but the larger diameter ones 
can really take the torque.  i like the idea of a wrench collar as it 
allows for easy tapping of the extractor with a hammer while applying 
reverse torque.

another tip to be used in conjunction with extractors is to heat the 
offending stub up quite hot and then touch a piece of paraffin 
(candle wax) to the bolt/hole when hot.  the paraffin vaporizes but 
keep dousing it as the bolt cools and eventually it remains a liquid 
and 'in theory' get sucked into the threads.  then use an extractor.

it seems the older the mechanic, the fewer the bolts broken.  Olde 
Fahrts have paid their tuition at the School of Hard Knocks and 
exercise more patience than us young bucks.  they soak parts in 
penetrating oil hours if not days before tackling a project, have 
developed that 'feel' of a bolt prior to its breaking point, and do 
not let anger get the best of them.  they know the piece they are 
working on has no personality, no vendetta, no conscious and approach 
it from a cold, methodical standpoint until they beat the bugger.

i'm still at the stage where i'll get angry and snap the bugger off 
just to show it who's stronger.  the subsequent loosening of my anal 
sphincter at that exact moment of breakage far exceeds the effect on 
the bolt.  :(

-dan