How to unscrew this spigot?
A pipe wrench on the inside on this side of the threads to hold the indoor plumbing in position and a pipe wrench on the outside to unscrew the spigot should do it.
It doesn't look like there's any thread tape in there, though, so it might be rough going.
Additionally, it looks like they sleeved the copper pipe in something else to get it through the wall, which is good, but if that's steel, there could be galvanic corrosion holding the copper to the steel.