As Big John commented, using a pair of small vise grips to grab the thread from the rear and work it out usually works like a charm for me, once it is threaded out a bit I can then use the same small vice grips from the front on the head of the screw.
On some small occasions even the back of the screw is rusted away so what I do then is use a cutting wheel to cut the back of the screw flush with the panel is it screwed into. Once that is done since that area is typically a double layer of skin I use a flat screwdriver to work between the skins and it pops the screw out 99 percent of the time. It only takes a few mins to do it.