Most of my motorcycles are over 40 years old, some even older. (I have a 1932 BSA that is currently my oldest), So, while maybe not the worlds leading expert,,, I do have an intimate relationship with rusted old parts or fused together stuff.
My GO-TO penetrating fluid is a product called "PB Blaster" its works very well. another, for more long term projects that require many many soakings and work to serperate is something called "KROIL" look it up, not exactly availible at your local hardware store, but well worth searching for.
Ill have to look for it, but i also have a D.I.Y recipe for a home made brew with ATF, Acetone, and some others that in testing actually works even better than KROIL.
Exhaust stuff is always tough when stuck,. all those heating and cooling cycles and exhaust byproducts make it difficult,
WD-40 is okay,, but not very good. look up the wiki page on WD-40, its actually only a water displacement oil designed to evaporate easily. Was designed for the space program for wet connections and fitttings. Better than nothing, and widely used, but not very good,.
If using other products, be very careful what you use, for example WalMart sells a generic lubricant that is almost 100% teflon, NOT good,,, if it gets on your paint, its impossible to paint again as it contaminates it. theres some fabric treatments and paint "Color back" treatments that are the same thing. Pro paint guys will kill you if you come near their shops with that stuff. It contaminates everything. filters, clothing, painted surfaces,,,