Maybe turn the exposed end with vice grips to get it to unscrew? My first project, world of hurt.

 

Use a dremel to cut a slit in it for a screwdriver. Then use a screwdriver. I did this on my ac cover when it got stripped.

 

Use a drill bit the same diameter or slightly larger than the thread. Drill into the stripped out hex until the head of the screw pops off. The stripped hex acts as a pilot, so you should always drill perfectly on center. Once you get the pieces apart that you're working on, you can easily remove the threaded shank of the screw with a pliers or even your fingers.

 

If your worried about drilling through the head to pop it off and hitting something expensive, just try an Easy Out.

 

Make a couple of dimples in it with a sharp punch & hammer, then try walking it out with an electric etching pencil. I've watched in amazement as this was done...the vibration does the trick.

 

sometimes a slightly bigger allen can be used.like a metric size key.

 

The way's listed are all great
I work at a plant and we are always removing stripped screws out of something
One other way is to get yourself some left hand drill bits
drill in reverse, it will many times back the screw out

 

On a similar note, on older carb bowl screws (phillips head) that were starting to strip out I was able to secure the carb on a bench and use constant downward pressure with a screwdriver and turn it 'just so' while tapping the top of the screwdriver with a mallet. Took a while, but it worked.
Not the same, but I figured I put it out there.

 

Drill the head off only as a last resort. Get some easy outs or do the dremel thing to create a flat head screw out of it first. If those don't work, then drill the head off....

 

these only work after smoking a left handed cigerete (lol)