Methyl ethyl ketone (MEK) also works well, combined with automatic transmission Fluid (ATF). However, it's a wickedly dangerous chemical. (Acetone -- also known as nail polish remover -- is also dangerous but no where near as much as MEK.)
The problem with acetone and MEK is keeping them where you want so they don't soften or dissolve nearby things.
I also sometimes use phosphoric acid, diluted with alcohol and water, to loosen frozen parts. (I wash the part with acetone/brake cleaner first to remove oil and grease.) In case you're wary of the acid, try reading the ingredients on a can of Coke.
BTW - I also use ATF as sharpening fluid to put razor edges on my woodworking tools and knives.
