I had the same problem a few weeks ago with my wife's car. I didn't have anything on hand to budge the wheel. So I put the lug nuts back on, lowered the jack, and took the car to *sigh* Walmart. Charged me $5 to knock the stuck wheel off and mount the new wheel.
If you have a 2x4 (or other lumber) on hand, try the following: leave one lug nut partially threaded on one of the studs, and holding on to one end of the 2x4, give the wheel a smack from the back side.