It cuts counter-clockwise instead of clockwise like normal drill bits, with the idea that whilst drilling a hole - it could also turn the stuck bolt out.
Whereas the normal drill bit, essentially tightens the stuck threads by turning it in further. Bear in mind stud extractors are very hard steel, therefore very brittle, if you snap that off, there's no chance to drill it out.
A lot of people stick a small weld and nut onto the end of the thread to turn it out.