I have had luck with apply a massive amount of WD40 and then leaving the figure over night and really let it soak in. Then use a screw driver that is 1 size larger (I picked up a great set in a red and black case at Home-Depot) and apply as much pressure as you can - stop if you are starting to strip the screw- and repeat the WD40 step.
I have also had to drill the tip of a screw off - I only had to do it once, but it worked and I caused no damage to the figure. I could imagine that if I had to drill another screw out - the outcome would probably be worse.
The two tips I have been told to try that have never worked for me.
- Use Coke to damage the screw furthers - I don't see how this would ever work.
- Use a crazy clue on the end of the screw driver and let it dry connected to the screw - if this step ever works, I am guessing WD40 would as well, and you wouldn't have to use glue.