http://www.harborfreight.com/12-piece-screw-extractor-set-40349.htmlI have some that are small enough, and look like a short drill bit, but they are left hand spiral, chuck it in a drill and set it to reverse, will drill in and grab in one shot, spins it right out...
I think I got them at Lowes... iirc or Ace...
this is the one....
http://www.mit-tool.com/maxcraft/products-10-37-525-60406-MAXCRAFT-3pc_Screw_Extractor_Bit_Set.htmremove the cap, and if you have a drill press that runs in reverse (l/h) use that, if not, a hand drill will work... use a 3/32" drill first, about an 1/8" deep, to make a starter hole.
These extractors grab fast and pulsing the drill will make it spin out like Butter.