They have when I've had occasion to use them. Just be careful not to break it off inside. The easy out is usually made of carbide, very hard but brittle to an extent. Much harder than the surrounding bolt you're trying to remove. Bad comes to worse you could always use a left hand drill bit to drill it out with just leaving the threads behind of course you'll probably have to replace the accompaning nut too. But more than likely, that's a given already.

Again, use some penetrating oil such as PB Blaster or CRC 5-56 and let it work in a while.