How Do You Remove A Stuck Lug Nut?

Use a torch and heat the nut. Apply penetrating oil. The hot nut will draw the oil in deep. Apply more oil let sit and try to loosen. If it doesn't come, heat it more and use a breaker bar or long pipe on your breaker bar. If all that doesn't work. Get a 4' pipe and snap the lug off. Get a new lug for about $5.

Believe it or not with a impact wrench/gun(air tool ) you tighten it  first and then loosen it...let me explain you first operate the gun to turn the lug nut to the right first and then to the left basically you are breaking the rust loose where it has been stuck over time ...I suggest after you get the lugs off that you put some anti-seize(sold at most auto parts stores) on each stud just enough to coat the tip of the stud so when you put the lug nuts back on they won't become stuck again for the next time you have to work on the wheel/rim/tire...

If it's just rusted in place I use break free or wd-40. If the lug nuts corners are rounded off, I grind two sides flat and use a pipe wrench. If the threads are stripped, I grind or break off the lugnut and stud and replace the stud. If you have aluminum or chrome wheels be very careful.

Try tighten it first ,then take a hammer and a old socket and hit it about three time then try to loose it ,transmission fluid is the best penetration oil soak well.