First thing is to hold the wheel dead still so you can get leverage. You can do this two ways: my preferred method is remove the wheel, then remove the centercap/hubcap to gain access to the nut, put the wheel back on and snug up the lugnuts. The weight of the car will hold the wheel still. If you don't have a centercap skip this step. Or you can remove the wheel, and have a friend turn the car on and use the brakes to hold the hub still.

If you put a breaker bar on there and stand on it or worse start jumping on it, you'll likely break something and it could be a bone.

I've had good luck just putting the breaker bar on there (1/2") and then holding it with some slight tension, start tapping on the bar about midway up the bar with a small 4-5lb sledge. Penetrating oil or BP Blaster will help as well.