For steel, you can go ghetto, and just heat up the hosel and pull the head off with your (gloved) hands.

For graphite, if you'd like to use the shaft again, a puller is strongly recommended. For with graphite, twisting the head to help get it off drastically increases the chances of fraying fibers, rendering the frayed part useless (well, ok, it just weakens them a whole lot, and exponentially increases the likelihood of breakage).

As for pullers, I strongly endorse JB's Hydraulic puller. Better than any screw type I've used.