ive had this happen a few times.
best idea is to spray the threads with lots of penetrating oil - to make sure it can come out cleanly
then, as suggested, use a hacksaw or a dremel tool to carve a slot into the centre and use a flathead screwdriver
the key is to prelube it so that any additional pressure you put on the 'screw' will not be enough to bend the walls of the slot or break it again, etc.
i advise against using vice grips as I found they just chew it up, making the process more difficult.
again, using lots of penetrating spray on the threads.
worse case scenario, head to a parts store for an easy out set. they are always nice to have in the toolbox.
http://www.wikihow.com/Use-a-Screw-Extractor
http://www.princessauto.com/pal/product/8366312/
http://www.canadiantire.ca/AST/brows....jsp?locale=en