I had similar trouble in removing the rear rotors. After confirming that the parking brake was disengaged and the rotor spinning freely after adjusting the brakes all the way in, I dripped some engine oil on each wheel stud as well as the opening where the small allan screw that holds the rotor to the hub came out of.
I slowly rotated the rotor allowing oil to seep in. Whilst turning I tapped the rotor with a mallet and a piece of wood (too scared to damag the rotor with a metal to mettal banging). This eventually freed the rotor.
Keep banging and turning the rotor. With a soft surface protecting the rotor you need to bash quite forcefully - it's the shock created that will free the rotor.