If its rounded out I would hammer in a spline bit first as it can be a quick fix. (hammering can als also help shock things loose)
Heating or cooling can be effective, just have a think about the expansion ratios of the materials first.
Left hand drill bits can be handy, but normally they catch and spin out bolts that the head has sheared off rather than the shank is seized, same with easy outs unless the original bit was tiny.
If you are going to take it to a shop try and not bork it totally, I often have to spend a lot of extra time removing stuff people have mullered trying to remove, 10 min labour turned into an 1 hour labour.
You can also weld something on to wind it out, welding on a washer first, then a nut onto a washer can work well for small studs down a hole. The heat from welding can also help loosen things off, again just have a think about expansion rates before you try and remove it hot or cold.