Here are some tips that will save you a lot of headaches, possible injuries, and frustration.

Bolt head styles

Allen head
These fasteners are wonderful for applications with limited space where their is not enough space to insert a tool, the fastener is recessed within a hole, or the bolt head must be flush to the surface. Commonly these fasteners are made in higher grade(stronger) than other fasteners. Because of all these good features, they tend to show up a lot, more on some cars than others. When it comes to applying torque to these fasteners, they are absolutely horrible because of how small the surface is that you are applying torque to. Take extreme caution with these bolts all the time, as they frequently have considerable installation torques, by nature are easier to strip, and can be very hard to remove if rounded.

Phillips, Pozidriv
Stupid design in my opinion that is actually designed to have the screwdriver cam out when enough torque is applied to it to prevent damaging the clamping piece. They are so common they show up in a lot of places. Take moderate care with these.

Slot or flathead
Annoying to deal with because the design does not center the driver making installation and removal slower and more difficult, but they do have the advantage of applying more torque. The fact that these do not align the tip of the driver axially or concentrically can make them strip easily if care is not taken, in addition to the greater torque they may have to start. Take moderate care with these but if good practices are taken, rarely an issue.

When to take extra action on a rounding bolt head

As early as possible! If your wrench, driver, ratchet felt or looked like it moved but that bolt didn't, STOP. See if the head is showing indents or rounding of corners. If rounding is showing, do not give it "one more try" or you will be in trouble.

How to loosen a seized bolt with a head that is starting to round

1. Check to make sure the bolt is actually able to rotate out. Make sure the two pieces being clamped together are aligned and aren't shearing the bolt. Make sure your wrench or tool isn't contacting anything. Think about whether the part may have Loctite on it or not (if so, heat the bolt up until water boils on contact to disable the Loctite). Check to make sure there isn't anything that is actually keeping the head in place and preventing it from rotating.

2. PB Blaster. It's not hard to find if you live in the US, available in most hardware and automotive stores, and not very expensive. It is not designed to lubricate like motor oil, it is not designed to displace water like WD-40, it is a penetrating lubricate that is designed to wick into thin cracks through capillary action and do a small amount of dissolving, and for that reason you don't let it get on any rubber, plastic, or painted surface. Spray it on, wait 15 minutes, then attempt removing the bolt. Can be left on longer if you are in no hurry and don't want to damage the bolt, as this is your last non-destructive option.

2.5. Try a manual impact screwdriver sort of a half step between on the verge of being destructive and not. It does much of the same as hitting the head of the screw with a center punch like below, but imparts a turning motion at the same time. Put the correct attachment on the impact screw driver, line it up centered, and hit it with a steel hammer. If only a light tap is needed, frequently no bolt damage is done, but damage is definitely possible with harder hammering. Also if using this on sockets, it's somewhat debatable that you should use impact sockets just like a full on impact gun, as normal hand sockets are not designed for impacts and can sometimes shatter.

3. Use a center punch, and a steel hammer, place the tip of the center punch in the middle of the bolt head, and give a big whack. That small jolt is often all that is needed to loosen light corrosion of the threads. This method does not work if the item threads into something soft or light weight, like a door panel screw or a small sensor you have in your hand. Throw away bolt once removed.

4. This method may not be applicable to all situations, as it involves a lot of heat. You take a hand held torch and heat the bolt until it is just barely glowing red, then give another whack with the center punch and hammer like above. You cannot use a lighter or a little kitchen torch, but an actual torch used for construction as pictured above because you want to put a lot of heat into the fastener fast. Let the bolt air cool to the touch and try removing again. Beyond this point, you might as well turn your wrench, ratchet or driver as hard as you can because the bolt head shape is no longer of any use to us. Throw away bolt once removed.

5. Clamp some Vise Grips onto the bolt head, making sure the vise grips will not slip, and turn very hard. You are now running out of options. Throw away bolt once removed.

6. Use a screw extractor, ideally with a left handed drill bit. You should already have a small dent in the center of your screw from the center punch (since this is actually what a center punch is normally used for) that should allow you to start your hole with the left handed drill bit. Screws are usually pretty hard steel, and material is removed slowly, and as a result the drill bit will get hotter than if you cut something softer like wood, plastic, or aluminum. Don't let the drill bit get too hot or you will ruin it! Keep drill speed slow, apply as much controlled pressure as you can, and stop every few minutes to cool the drill bit with anything, motor oil, simple green, water, WD-40, etc... You don't want the drill bit getting hot enough that it changes colors or it will most likely be ruined. If you are lucky, the bolt may just come out here since pressure will be relieved from the threads and the grabbing action of the drill bit will want to turn the bolt. If not, lightly tap in the extractor, and using an adjustable crescent wrench, or ideally a tapping wrench, unscrew the bolt. Make sure you don't break either the tap or the drill bit, or you have made your problem even worse. Throw away bolt once removed.

7. The following method has an almost guaranteed chance of damaging other nearby items, so I am usually against this one. Take a Dremel or other similar small rotary tool and cut a slot into the head of the bolt to turn it into a slotted bolt head. Make sure the slot is as deep as possible, and narrow enough to get a good fit with a slotted screwdriver. Throw away bolt once removed.

Stripped threads

There is only one thing to do at this point, replace the threads. If a bolt already pulled out once, chasing the threads with a die or tap won't do much good. If the bolt, nut, or stud, simple unscrew and replace. If the stripped threads are the female thread tapped into something much larger, things are going to be more difficult. Your best bet is to look into something called a Heli-Coil or Time-sert. The directions vary slightly between whichever thread repair you choose. You want to make sure this is done absolutely perfectly or else they will pull out and you are left with an even larger unusable hole. If you do it right, the threaded hole should be stronger and more wear resistant (if tapped into a soft material like aluminum) than before.

Prevention

1. Always use a torque wrench when installing the fastener. Tightening the fastener more than it needs to be makes it harder to get out later, risks damaging the part being clamped and risks damaging the bolt. Tightening the fastener less than it needs to be makes it much more susceptible to loosening and failure. The only place I frequently skip this are very small fasteners, where I simply stay on the side of tightened "just barely enough", as these fasteners are often holding something flexible and non-critical.

2. Make sure the threads are clean and can be threaded all the way by hand. Unless you are using a locknut, this should almost always be the case. If there are particles, contaminants, or grease on the threads, CLEAN THEM OFF, BOTH MALE AND FEMALE THREADS, and prevent it from getting on the threads to start. I like to spray the threads with Loctite 20162 ODC-Free Cleaner and Degreaser, and then remove with compressed air since this is quick and doesn't cause flash rusting. WD-40 and a shop towel work ok. If there is light surface corrosion on a high temperature part like an exhaust stud, a light brushing with a stainless steel brush is all that is required. "Chase" the threads with a tap and/or die to if there is any stubborn corrosion, dirt, or damaged threads.

3. Use assembly lubricant according to either the repair manual or judgement. If the part is going into a high temperature place like an exhaust or brake rotor, a very small amount of high-temperature anti-seize compound is very helpful, the only exception is spark plug threads where I recommend against anything other than clean metal because this is also an electrical connection, and high vibration fasteners that use Loctite as any dirt or oil prevents the Loctite from working properly. For many other fasteners, a light brushing of clean 30 weight motor oil(the automotive industry standard for installing fasteners) is very helpful in making sure the fastener is torqued to proper clamping load and not just thread friction, as well as reducing the chance of galling from things like steel fasteners rubbing against aluminum threads.

4. If the fastener has deformed threads, damage, or bad corrosion, THROW IT AWAY. As Caroll Smith states in some his "to win" books, "if there is any doubt, throw the fastener in question into the nearest large body of water and see if it floats." Replacing a few bolts is a lot cheaper than what your time should be worth if you have to forcefully extract them later. Damaged fasteners are not only difficult to remove, but can fail and damage even more parts of your car.

5. Use the correct tools and use them properly. If the socket doesn't fit nicely on the bolt head, it will frequently round it off or at the least, damage the bolt head. This is also why we don't use SAE sockets and tools on Metric parts. Don't use a screwdriver that is too small for the screw. Avoid cheapo tools that don't fit well, a good example are how I have only stripped allen head bolts with my cheap Chinese made Neiko Allen socket set, and never with my nice German Wiha Allen keys, which also frequently require me cleaning the Allen socket out or the Wiha keys will have a hard time fitting. If it is a 6 point bolt, try and use a 6 point socket. Use the box end of your wrench when possible over the open end. Avoid ever using a crescent wrench. In addition to the right tools, use them with common sense. Fasteners aren't going to be happy if you try removing them with your tool at an angle.

 

Proxxon torque wrench sizes.
23349: 1/4" drive, 5-30 nm
23351: 3/8" drive, 20-100 nm
23353: 1/2" drive, 40-200 nm

 

I'm just gonna leave this here just in case some of the abbreviations on the fastener descriptions needed explaining.
http://images.gasgoo.com/attachment/Approved/001/402/001402193.pdf