Try this approach: (#3 is different from the original instructions, also see the suggestions at the end)

1. Turn off your TV/Monitor
2. Get yourself a damp washcloth, so that you don't scratch your screen.
3. Take a household pen, pencil, or some other sort of instrument with a focused, but relatively dull, point. A very good tool would be a PDA stylus.
4. Fold the washcloth to make sure you don't accidentally puncture it and scratch the screen.
5. Apply pressure through the folded washcloth with the instrument to exactly where the stuck pixel is. Try not to put pressure anywhere else 5. While applying pressure, turn on your screen.
6. Remove pressure and the stuck pixel should be gone.

*This works as the liquid in the liquid crystal has not spread into each little pixel. The liquid is used with the backlight on your screen allowing different amounts of light through, which creates the different colors.

Here's a suggestion I pulled of a tech support forum:

If the pressure doesn't work directly on the stuck pixel, start moving outward around the stuck pixel. If you see the pixel flicker while doing this then you know where you can focus the pressure rather than directly on the pixel.

Many people report success with this technique, but these instructions won't work in every case. It may take a few attempts to make sure you are pressing exactly on the stuck pixel. An alternative, but similar technique involves gently massaging the stuck pixel with a warm damp (not wet) soft cloth.