Lots of ways depending on the situation.
If the head protrudes, grab it with vise grips and twist it out.
If the head does not protrude, cut a slot with a dremel and than back
it out with a screwdriver.
Another method is to drill a pilot hole in the center and then get it
out with a screw extractor. Google on "easy out".
They also make a tool that basically combines the drilling and the
extracting in one step, but the name of that tool escapes me at the
moment. Used a lot for getting out old locks that have those one-way
screws holding them to the door.
If this is a large fastener, like the alternator on a car or something,
then there is another tool for this purpose like the set at Sears: