Also, to continue from where I left off....
Once you do finally crack that fastener loose, 1 tip. STOP!!!! Do not continue to unthread it thinking you are the man and nothing can stop you. You will find out, especially with rusted fasteners, (exhaust bolts, even spark plugs that thread into cast iron), that you will be able to loosen them a couple of revolutions but then, they will start to "tighten" as you are loosening. This is a GREAT time to stop, grab a beer, smoke, jerkoff, hey whatever floats your boat, just give it time so the HEAT THAT IS GENERATED has time to dissipate. Don't believe me? Go try to unthread a rusted bolt with a socket about half way as fast as you can, now take the socket off and I dare you to hold on to it. You WILL get burned by the socket if you generated enough friction.
Like MDC said, it helps to reverse direction and actually tighten the fastener AFTER YOU ALREADY LOOSENED IT, let it cool, loosen, let it cool, tighten, until it comes out. This can last up to an hour depending how long the fastener is and how rusted it is. And when I say "tighten" I mean the direction you would normally tighten the fastener. I'm NOT TELLING YOU TO TIGHTEN IT, just spin it about 1/8 of a turn in the tighten direction so that it loosens. You will know what I mean if this has ever happened to you. This only happens to hardcore rusted fasteners, something most people have never encountered and I pray you never have to. This has happened on 1 of my turbo to exhaust manifold nut/studs.
You want the metal of the fastener to cool and contract before you reach the plastic stage of the fastener.
I'm actually thinking about devising a cooling system for such situations that would cut down on broken bolts, since I encounter a prick fastener almost everyday and don't have the time to wait for the bolt to cool. (Flat rate anyone?) I just spray the shit out of it with PB to cool it, usually going through 2 cans a day, hey it's good for something
And everyone that swears by PB, yes it is a good penetrating oil, but there are far better ones out there, just gotta be determined to find them.
That is all, thank you.