the most effective way & quickest, as I have run into this owning a repair shop is take a chrome socket(1/2 inch drive) that is just too small for the diameter of the lug & beat it onto the lug. the combonation of forcing it on & hammering it tends to loosen thing s up a bit, then use an impact gun to blast it off. it should spinn off unless it isdamaged & rusted on but the hammering tends to loosen the rust. also the socket, should be a 12 point if possible, it allows the teath to bite into the walls of the lug at more points & being a regular chrome socket & not an impact socket allowas for more give. good luck
this method has never failed me
i had same problem. I used a 6 point socket, hammered it on, worked on half of them. Other half it stripped the teeth on the lock. I ended up just ordering 4 new locks and a key from the manufacturer. You can also take it to a tire shop and they can weld a nut on the end then spin the nut off that way too.
If you don't mind beating up one of your sockets you can try to hammer on a 12 point like a few others have mentioned (it really does work), but for about $10 you can buy the tool that shops use. It's an impact socket designed to take off rounded bolts, it has reverse twist teeth in it instead of the normal 6 or 12 point shape. The reverse twist makes it grab onto the bolt harder the more you turn it so there's no need to pound it on, just a light tap to get it started.
ratchet,deep socket,hydraulic bottle jack and garage wall
put the ratchet and socket on the offending nut place the jack horizontally centered on the head of the ratchet and jack it against the wall. the force of the jack pressing against the socket/ratchet provides the needed friction to be able to turn the lock nut off. It will break it free,i have taken McGard locks off like this many times