It's often a problem, especially if the threads weren't greased before the original pedals were installed.

I had the same problem taking my original pedals off, but managed to do it using a nice long allen key on the back, and using a piece of pipe I had laying around for leverage. If you can't do this, or are worried about breaking something important in the process, take them down to the LBS. They'll have the right tools for the job.

Don't forget too that the left hand pedal is reverse threaded (so that it naturally tightens during it's natural rotation).

Oh, and before you install the new pedals, take a precautionary step to stop this happening next time and grease the new pedal threads before you put them in!