EZ-Outs are the way to go for smaller bolts. Check your local hardware shop for sizes and drill bits to match.
You'll also need a "T" style tap handle for control of the small EZ-outs -- using an adjustable wrench will encourage breakage and if you break of an EZ-Out you're pretty well screwed since they're hardened alloy steel.
Use a center punch carefully to center the drill bit in the screw and be extra careful not to let the drill drift off-angle or you'll trash the threads and make removal about impossible.
A thread tap of the correct size would also be a good investment -- just to clean the threads up afterwards and remove any threadlocker or sealant.
You probably can't get left-hand (reverse-twist) drill bits locally but you can find them at
www.mcmaster.com. Using a reverse-twist bit (with a reversing drill!) will often spin out a broken screw while you're drilling the pilot hole for an EZ-Out. Well worth having around in the sizes needed for the EZ-Outs. McMaster also has a 2- to 3-day turnaround if you order in the morning.
The main thing is to remember this, so write on the blackboard 100 times:
"LEFTY LOOSY, RIGHTY TIGHTY" :-D
Jim