Before going for option 4, maybe removing the mech from the bike, removing anything flammable from the mech, and heating it up with a blow torch - allowing the hole the screw goes into to expand, and contract. If you are lucky the expanding and contracting, along with a generous helping of WD40, may loosen up the screw.
Another option is to try and turn the screw with a tight grip from a pair of pliers - Of course if the screw really is stuck in there, this could take the head off.
This should probably be a bit of a last resort, as there is potential for permanent damage to the components.
As for my bike, I have:
- Straightened the front derailleur mech. (Bracket wasn't tight enough, caused it to twist on the frame.)
- Set the limits correctly for the rear mech.
- Removed slack from the gear cables.
- General cleaning.