This is especially frustrating if you are using a polarizing filter, as the front of it rotates freely, making it difficult to get much traction.
You have three choices -
1) Pay a camera store to separate them (if you can find one that does repair work).
2) Order a Camera Filter Wrench set for $20 (and wait a week for it to arrive),
3) step into your garage, grab two 14" cable ties, and free them in under a minute.
How? Read on...
Step 1: Grasp the Locked Filters and Wrap the First Tie-band Around Them
Wrap a cable tie around the bottom filter, until you have two ends about the same length.
Place your index finger between the two tails of the cable tie, then grasp the ends with your remaining fingers and thumb.
The cable tie should be straight around the filter, and you should be able to hold it tightly with one hand.
BE CAREFUL not to squeeze hard until you have the band straight! You could "pop" the filter out of the cable tie and send it flying to a shattering end on the floor! (I generally do this whole process in my lap for safety.)
Step 2: Add the Second Cable Tie
(NOTE - if your filter is jammed onto the camera, rather than a second filter, you STILL want to use a second cable tie OR hold the lens VERY firmly. Turning a jammed filter HARD against the lens without proper counter force can DAMAGE the AUTO-FOCUSING MECHANISM in the lens!)
While holding the filter by the cable tie in one hand, wrap the second cable tie around the second filter (or the camera lens).
The photos show this being done on a table top. It is actually much easier to do this in your LAP where you can push against your leg to prevent the filter from coming out of the first cable tie.
Step 3: Turn! (the Right Direction Please!)
Thinking about which way threads turn (so you don't tighten them) turn your hands toward each other. If the filters resist, go back and forth a little bit. Since you now have much more leverage and grip, they will usually start un-threading easily.
Turn about 1/8 to 1/4 turn before you release the cable ties to be sure the filters are lose. Set the filters down carefully as you release your grip.
I now keep a pair of 14" cable ties in each of my camera bags.