Drill them out.
Chisel them off.
Torch them off.

Guess it depends on the type wheel and lug you are running. I assume you either can't get a socket over it due to clearance issues with the wheel or don't want to hammer a socket over it to get them off because??????

I've seen them removed with a sharp chisel and tap them in the direction that you would remove them - however one slip and your wheel is in serious trouble.

It all depends on what style you have: if it's the old school ones with the retarded "clover" pattern on the top, or if it's the newer style that has the grooves spaced around the outside of the lug. Check out any larger tire store, they could probably get them off for you at a minimal cost.