WedgeCo, a company that specializes in Broken Key Extractors, has introduced a tiny 1.5mm Cobalt Drill Bit that they say can be used to drill into a broken key that is stuck inside of a lock. The Drill, itself, will either eventually pull the key out of the lock as it drills into the key fragment or it will leave a hole that you can use to inset a hook or spiral extractor. The problem with most small drill bits is that they can easily snap off if pressure isn't applied correctly. These Cobalt Drill Bits are remarkably strong. WedgeCo even claims that they can be used to re-mill the keyway to remove a ward and change the keyway. It is an inexpensive tool to keep in your kit for those difficult extractions.
#6000 Wedgeco - Cobalt Drill Bit For Broken Key Extraction – Foley-Belsaw Locksmithing