I just did my broken exhaust bolts a few weeks ago. I was very surprised how easily they came out. 2 were broken off past the head surface, and 1 was broken below the surface. Used a pair of knipex cobra pliers to remove the 2 that were above the head, and then built some weld up on the bolt that was below the head surface till there was enough to grab with my pliers. Took 2 tries to get the weld to stick, but it came right out.
Knipex > vice grips.
http://www.knipex.com/index.php?id=1...8&groupID=1503
Good luck