I had a mechanic tell me along time ago that when the lug nuts were stuck it was almost always the nut stuck to the wheel. He suggested I take a deep-well impact socket, put it over the lug nut and then whack it on the end with a hand sledge. You are actually hitting the wheel in the area around the lug nut. The shock of hitting the wheel will likely break the nut free from the wheel.
I have tried this every time a lug nut was stuck and every time it has worked.
I also put anti-sieze compund on the surface of the disc or drum that mates with the wheel, keeping any compund off the studs. This is especially important with aluminum wheels (dissimilar metal corrosion).
When a wheel was stuck to a disc or drum, I put the lug nuts back on finger-tight and then drove up and down the driveway while hitting the brakes to break the wheel loose.
Steve