Extracting Broken Bolts and Studs
http://www.dimebank.com/tech/BrokenBolt.html

The Art of Extraction
http://www.asashop.org/autoinc/may2003/techtotech.htm

Extracting A Broken Bolt Or Screw
http://www.amazines.com/Construction/article_detail.cfm/307403?articleid=307403

Removing broken bolts with stick welder
http://weldingweb.com/archive/index.php/t-7834.html

Here's a guide to un-sticking stuck fasteners.
http://www.motorcycle.com/how-to/how-to-extract-stuck-screws-3440.html

remove broken tap drill or stud
http://brokentap.blogspot.com/


Note:
In some areas there are specialty shops that do this for you.
Example:
http://www.brokentap.com/services.html