Well. I know a lot of embroiderers will use an electric-razor type of tool, looks kind of like a mustache trimmer.
I have a laptop bag with a corporate logo embroidered on it, and I wanted to remove the logo. I tried E.V.E.R.Y.T.H.I.N.G. I used a razor, a seam ripper, a box knife blade, you name it, I tried it. That sucker is impossible to get off.
However, my experience may differ from yours. The bag material, the commercial-quality embroidery, the thread and stabilizer used may all hinder removal of the stitches on my bag. If you're trying to remove home machine embroidery stitches from cotton, you're probably going to be more successful than me.