Some weight bolts are glued. Try a soldering iron on the bolt to heat it a LITTLE. Should be able to break it loose then.
I've been there trying to remove a stubborn weight bolt and the problem most of the time is the cue maker used some glue to be sure the bolt doesn't come loose. Heat the bolt with a soldering iron and this will make the glue melt and allow it to be removed like this post states. I know exactly what you are going through. It does sound like yours is really stuck, but the heat should do it. I had to resort to an easy out on the last slotted weight bolt I had trouble with........
James