Is this one of the glow plugs that you just replaced recently, or one that you were trying to replace? If the latter, it is probably seized up from being there a long time. Start by soaking it with PB Blaster or similar for a few days, and then use an assortment of left hand drill bits to try backing it out. Hopefully it will let loose. If not, progressively drill bigger and then re-tap the threads to accept a new glow plug.
