Yes, use a penetrant (a good one, not WD40) and try a little heat (propane torch, *carefully*) and smack the crank a bit with a soft mallet (hardwood, copper, deadblow) to set up some shock waves. Do as Coelcanth says: clean threads and nice and tight (but not TOO tight) when you screw that extractor in...I usually have best luck with the Park tool.