As mentioned, vise grips, if it is too tight then I would dremel a slot & chisel if the drilling didn't work. Usually the head will snap in half, then you have a better "chunk" to vise-grip to. If THAT doesn't work, then I would cut the rest off & at that point it should be pretty easy to get out (not even hand-tight). If it is rusted in place, the only solution is to drill.

I wouldn't weld anywhere near anything you don't want to warm or be permantly damaged from the heat.