It may not be worth it to everyone...but I bought a set of micro-screw extractors from Lee Valley. Set of 4...sizes M6-M3. They work...and for the number of times (knock on wood) that you need them, they'll last forever.
I think the last single one I bought was from Rona...it was a size M5 or M4....just a little big for a mechbox screw, but it works too.
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