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I was told to hit them end on with a small to medium ballpein hammer (like you are trying to drive them further in). Be careful, but hit it hard enough to deform the tip a little- you are going to go buy nice new zinc-chromated ones from Napa, etc when you are done. Then use a 6 point socket.

Background- I haven't done a ton of these, but so so far this is working 100%. I've gone so far as to remove calipers so as to bring them to a better place to hit them. This hitting breaks the bond on the threads.
Remember when torquing on 'em, in or out, that the "bolt" size gives you a deceptively high impression of their strength, which means nothing because they are hollow...obvious, I know, but worth mentioning.
A rule of thumb is that most bleeder screws have the same thread diameter as the wrench size used. 1/4-28 is the most common size through to late 70's.
A 6 point socket, with a short, tight fitting extension, minimizes side loading over all other wrenching methods.