They are only a pain when you have a Turbo engine with a Bosch pump as it considerably hinders access to Nos. 3 and 4 glowplugs.
I use a 12mm cranked ring spanner as a socket is often not deep enough and a deep socket may give access problems. And as Terry says, gentle but firm
A lump of Blu-Tac on your finger to catch the 8mm nuts as they come off is a godsend, as is a rag stuffed behind the injection pump and starter motor. Glowplugs are like Lemmings - as soon as they are unscrewed they make a break for the narrow spaces between the injection pump and starter motor. They seem to love it down there and I've found loads of old glowplugs quietly living out their days in these spots when stripping an engine
The horror stories concern lumps of head casting coming away with the glowplugs when you try to unscrew them
Dissimilar metal corrosion between the plug body and the cylinder head can cause them to well and truely seize in their threads. You give them a bit too much welly and a lump of head comes with them! Some have made successful repairs using Chemical Metal.
If they are old and been there a long time, a good dose of Plus-Gas the day before is well recommended.
Check the electrics though. It is unusual for all four to fail at the same time. Check you have at least 11V on them when the glowplug light is on. Sometimes the feed cable to them or the paralleling cable that links all four plugs can break down and short circuit to adjacent metalwork.
Be thankful you don't have a 1.9TD Xa**ia. Glowplug replacement is a 'mare
