Sometimes, you can take a junk allen wrench (the cheap L ones), mix up some jb-weld, clean the head of the bolt really well to remove any oil/dirt and the wrench, then dip the wrench in jb, stick it in the bolt and let it cure. Then once fully cured, gently back the screw out. You should use a new/sharp allen for this.
That said, I've had to dremel a hub off the output shaft of my savage because jb didn't work. Basically, the hub was considered a loss. I tried just dremeling the head/hub to make a slot in the top of the screw, but I still couldn't get it to back out... I guess in hindsight, I should have tried just drilling the pin out... I was fairly new to the hobby at the time and didn't know all the tricks yet. So my first attempts were pretty invasive.
The hub was junk anyway as I was replacing it due to notching in the cup, so I didn't care, but was still a pain.
For most bolts that are visible (not set screws), cutting a slot in it with a dremel and using a standard screwdriver usually gets the job done.
Unless it's an engine head/backplate bolt where you can't get at it. Then your only course of action is to use a drill bit as large as the head of the bolt, drill the head off, then wrestle the head over the bolt stub and take the stub out with a pair of pliers/dykes.
I have a set of MIP wrenches that I really like. Cost a bit, but totally worth it. Seem to be holding their tips really well after a years worth of use, almost no wear at all. I tried OFNA and hudy, both of those aren't very good. They get dull pretty quick and then start stripping bolts.
I've read that EDS makes some really good ones too, I flipped a quarter when I bought mine with MIP vs EDS and got MIP:
http://www.amainhobbies.com/advanced_search_result.php?keywords=mip+speed&x=0&y=0
EDS:
http://edsracingproductsstore.com/index.php?_a=viewCat&catId=39
I suppose I could have tried EDS for half the cost of MIP
$5.95 each
http://edsracingproductsstore.com/index.php?_a=viewProd&productId=166
http://edsracingproductsstore.com/index.php?_a=viewProd&productId=167
http://edsracingproductsstore.com/index.php?_a=viewProd&productId=168
http://edsracingproductsstore.com/index.php?_a=viewProd&productId=169
vs $13.75 each:
http://www.amainhobbies.com/product...ucts_id/14522/n/MIP-Speed-Tip-Hex-Wrench-30mm
http://www.amainhobbies.com/product...ucts_id/14518/n/MIP-Speed-Tip-Hex-Wrench-25mm
http://www.amainhobbies.com/product...ucts_id/14516/n/MIP-Speed-Tip-Hex-Wrench-20mm
http://www.amainhobbies.com/product...ucts_id/14514/n/MIP-Speed-Tip-Hex-Wrench-15mm
Wish MIP made a phillips/standard driver and I could pitch my OFNA ones I still have... may get EDS for those. Christmas is here, something for my wife to get me.
I've read a few people bought these and like them as well:
http://www.amainhobbies.com/product...d/206639/n/Losi-8-in-1-Locking-Hex-Wrench-Kit