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Emyr-
Put the allen key in a vice
Don't even use an Allen key. Use a hex bit with a large T-bar handle, then you can apply thrust along the thread axis and torque around it at the same time while avoiding any thrust or torque in other axes which will tend to lever the drive bit out of the axle. Since it's easiest to do this with the crank attached to the bike, you'll probably want an extension bar to allow the T-handle to clear the drive side.
Remember, since nobody has mentioned it yet, that removing a left pedal from the right of the bike requires an anticlockwise motion.
gbj_tester
The annoying thing is that it is an XT SPD pedal, so there is no part for a pedal spanner, just an 8mm allen key on the inside.
I've tried heating it up, as suggested on Sheldon Brown, but to no avail.
Any suggestions?