There is nothing more frustrating than having to drill out a broken EXTRACTOR. It helps to turn extractors with a 'T-handle', like those used to spin taps, instead of a wrench, since the 'lateral' torque from the wrench is more likely to break the extractor. I use left-handed drill bits, and often get lucky when the drilling itself frees the broken bolt! Woo-hoo!
These are pretty easy to find. Harbor Freight has a decent set for under $5, but most hardware stores seem to have them as well.
Link to Left-handed drill bits at Harbor Freight
I recently borrowed a set of these Alden Drill-Outs, and now they are on my (lengthy) tool 'wish list'. Super slick idea. Sears sells the 4-piece large set under their own label for $40. Amazon sells them for $45 (free ship). There is also a 7 piece set that includes smaller sizes for around $60. Best of luck.
Link to Alden
Link to Item at Sears
Link to item at Amazon