I highly recommend the bolt extractor made by IRWIN and sold at Autozone, NAPA, among others. It looks like a set of sockets, the inside is a hard and sharp reverse-helix designed to grip the outside of a bolt head or other, IIRC the small set is only around $20.
I bought this set to remove a head bolt that someone had apparently broken a triple-square bit in, ... and left it there, making it un-drillable (almost) and of course there was no way to get a grinder in there, or a Vice-Grip, or any other method to remove the bolt. The IRWIN extractor set worked very well and is now a valued part of my tool set.
http://www.lowes.com/pd_577634-281-394001_0__?storeNumber=1615&DM_PersistentCookieCreated=true&store_code=1615&selectedLocalStoreBeanArray=%5Bcom.lowes.commerce.storelocator.beans.LocatorStoreBean%404f494f49%5D&k_clickID=af2d2782-423b-47d3-b28e-81b7aeca271b&productId=50146292-_-