I haven't tried the Sears extractors but the one I like are the square, tapered kind. I only have one so far, for smaller bolts and it has worked very well every time I used it. You tap it into the hole with a hammer, the edges cut into the sides of the hole then you turn out the extractor:

http://shop.store.yahoo.com/brandsplace/0246-kd-720.html

I'm guessing they only have hardened cutting edges but the body is not so brittle. That seems to be the problem with the spiral type extractors and why the snap off so easy.