Unscrew stuck shower head with circular section
WD40 may not be the best solvent for the job.  A solvent that's made mainly to loosen screws, like Liquid Wrench or B'Laster, may work better, but they also might not work too well against the residues that build up on plumbing.  

Soaking the head in a cleaner made to dissolve calcium, lime, and rust, like CLR, or vinegar, with this trick (saw it on Lifehacker) 



may loosen things that the others don't.  You fill a bag with cleaner and tape it onto the showerhead to let it soak.  

You can grab the pipe with whatever wrench is handy, but the right wrench will grab more securely.  A pipe wrench 



will grab it for sure, but it will bite into the metal and leave a visible mark.   

A strap wrench



will grab without marring, but the surface needs to be dry and clean - any wd40 residue would need to be cleaned off.  

There are some cheap rubber strap wrenches available 



Both types, strap wrenches and pipe wrenches only work in one direction - you'll figure out which way, just be aware of that.