These are methods that I've used/heard of for motorcycle parts so may not work on smaller bicycle mech screws:
Soak the thread in penetrating oil, if you've not done so already (maybe leave for a day or so).
Get a small centre punch, watchmakers screw driver or other fine pointed tool and a very small hammer. Place the punch on what remains of the screw head off centre, near the radius edge and tap in an anti-clockwise direction. If it starts to move, keep tapping round, but be patient. As more thread is exposed it will get easier and may reach the point where you can grip with pliers.
or
Try glue-ing something to the top of the screw to provide extra shaft length that you can grip or twist with pliers to rotate the screw out. (The usual technique is to weld something on top of a bolt, but the mech is too small for this).
or
Fix the mech in a pillar drill and drill out the centre with a very small drill bit. The edges of the screw may then just fragment and fall out or you can clean the threads with a tap. I wouldn't try this with a hand drill or Dremel. It is too easy for the drill to wander and spoil the thread and the the body of the mech.
It might be worth paying someone like a jeweler to have a go at this for you. They may have equipment that makes it easier (fine drills/files/punches).
