Sometimes Vice Grips don't even work. This summer the pcv valve on my suv bit the dust. There were two bolts holding it to the intake manifold. One unscrewed just fine, the other popped the head of the bolt. "Great"! I was able to get the pcv valve removed, and thought I would just use the good ol' vice grips. Vice grips snapped on nice and tight, twist, twist, twist, *POP* the daggon bolt snapped again. So off came the intake manifold, and out came the drill. Drilled that sucker out, and retapped the hole.
I have seen guys do it by: 1) Putting the head into their barbecue (these have thermometers, easy to adjust flames, etc) for 15 minutes or so... Probably safer than a MAPP torch or oxy torch... 2) Then apply ice to the stud or dip the stud in icecold water (use oven mittens to hold the head)... Also, someone mentioned drilling... I had to drill out a bolt in an old ford. The best Home Depot carbide/diamond tipped/cobalt/etc bits kept breaking... Went to a machine shop and bought some of their drill bits, 10 were $200... Looked no different than the ones I was using, had no fancy labels, etc... They carved out the bolt in one pass...and stayed sharp...
Any time you have a steel part stuck in an aluminium part you can take the part and have it anodised. The part's sizing will increase by a hair's breadth, but the steel part stuck inside will be dissolved by the process.