Stopped at HF today to stock up on cheap new drill bits and also picked up one of those stud removers similar to the one Todd posted- for $5. But, it didn't work worth a crap- the body of the tool is smooth, the only "teeth" are on the eccentric part that's connected to the socket- I think it might have been a case of the remnants of the stud being too short since I did use it to pull out one full length stud.
Anyway- I decided it was do or die time. I was mentally prepared for drilling it out, and using a helicoil if I screwed up the threads. BUT, I had one final idea.
I took a thin washer with a hole the same size as the stud (8mm I think) and put it on to protect the head, then got a 17mm hex (10mm hole?) nut and welded it on to the remains of the stud. I figured that with a slight air gap between the stud and the inner hole of the bolt, I could get a stronger/better weld on it, and the washer would protect the aluminum head if I happened to get too much penetration with the welding wire.
So, I used the same procedure as before - weld, then hammer the tip of the stud a bit while it was still red hot to (hopefully) loosen things up a bit, then spray it down with PB Blaster and finally try to spin it out (this time I used a regular ratchet, NOT an impact.
Here is the result:
(the unbroken stud is shown for comparison purposes)
So, the current score:
Hack mechanic: 1
E30 exhaust stud: 0
EDIT: BTW- HF has a 3 piece step drill set on sale for ~$8, I bought one. They also have a ~60 piece titanium coated drill bit set for $10- it's the "numbered" set, going from REALLY tiny to small- I thought about getting that one, but I knew the really small ones would be virtually useless to me- so I got a pack of 10 1/4" titanium bits for $4.