If the nut is bonded to the bolt, you will need more serious techniques. Heat, carefully applied to one side of the nut, can expand it sufficiently to break the rust bond or melt locking compound. Be sure to first clean off all the penetrating oil and only use open flame in areas safe to do so.
Many modern cars have extensive amounts of plastic that can melt and catch fire if you are not vigilant. Because your vision is narrow through dark, tinted safety glasses, have a spotter watching for telltale smoke or flames. Fireproof welder's blankets can be used to protect vital parts and paint from flame.
I prefer using a very small oxyacetylene tip to concentrate heat in a tight area, but an inexpensive hardware store hand-held propane torch can suffice if you have the room.
Step 9: Use paraffin as a lubricant
My favorite trick for removing rusted NPT pipe plugs from cast iron is to heat the surrounding iron, then melt a candle on the threads. Paraffin will wick into the threads and act as a lubricant. Be sure to use a snug-fitting, proper-sized socket. In this example, I used a special female square drive socket that fits the square on the pipe plug.
Step 10: Use drastic measures if all else fails
A pneumatic or electric impact gun should be the tool of last resort because it often simply breaks the bolt. Use the proper impact socket, and wear gloves and safety glasses. Since these tools can be quite powerful, save them for larger nuts. If possible, use the impact on the nut side and hold the bolt with a wrench.