Before you go drilling it out bear this in mind.....

There are things called screw extractors, basically a left handed thread on a taper....you drill a small hole in the centre of the bolt thats left...wind in the screw extractor with a rathcet (reverse on ratchet) and it grips the bolt and removes it...you can do the soaking with wd40 and tapping with hammer to help release it the same as others have said.

You can get them from screwfix and other good hardware places....if you can get the bolt out this way then there's no need to helicoil as it doesnt damage the original threads...and you will pay a hell of a lot less for a set of extractors than you will do for a helicoil at a garage

I've never not been able to remove a snapped bolt with my set yet

Link to screwfix.....
http://www.screwfix.com/prods/18643/...xtractor%20Set
£2.68 inc vat you cannot go wrong with a set of these.

HTH
Dan