It's really annoying when you go to change a tire and you encounter a lug nut that is stuck. It's much worse when you have a flat tire, it's dark and raining, the temperature is 35 degrees and you're stuck in the middle of nowhere with no hope of receiving help. You can remove a stuck lug nut in a variety of ways. Unfortunately, some of the methods won't work if the nut is extremely stuck. Removing a stuck lug nut is largely a matter of trial and error.
Place a penetrating oil such as Liquid Wrench all around the nut. Let the oil seep in for 10 minutes. Remove the nut with a lug wrench. Let the oil seep in for a few hours if the nut is still stuck and you're not in a rush.
Try a different wrench. A four-way wrench is much better than a wrench shaped like an "L'' because it gives you better torque. Many cars come with the wrench shaped like an "L.''
Try removing the lug nut with an air gun. An air gun is the tool you see on TV where they quickly change tires in a race-car pit.
Carefully heat the lug nut with a propane torch. Heat only the nut. The way it works is that a heated nut will expand more quickly than the unheated stud inside. Loosen the nut with a wrench.
Place a nut splitter on the nut. A nut splitter forces a wedge into the nut as you tighten it. The nut then splits in half and falls off.