Or a wheel stud? to clarify a bit....
A wheel nut
http://tractorshack.c...log/images/726796.jpg
If you've snapped one of those just get a new one
a Wheel bolt
http://www.jasmine-mo...ges/Wheel%20Bolts.jpg
if you've snapped one of those (or a stud) it depends how much you have left, if you still have more than a few mm sticking out you can possibly get a set of mole grips on it. if its snapped of flush or below the hub level then you may be able to tap it lose using the end of an old screwdriver.
if it's really stuck in then you may have to use a bolt/screw extractor
http://www.axminster....sy-Out-Set-462398.htm
it's possible to do it with just a normal drill, but very easy to destroy the thread in the hole trying so I'd not advise it. (or if you happen to have a welder handy and know how to use it you could weld a slightly smaller bolt to the end of the part in the hole)