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Having a battery fail to come out is a sure sign of something wrong.
Has the battery leaked at all? if so you will see white powder accumulations, or perhaps an orange-colored stain.
I would not advise using WD-40. Sprays can get into the electronics, and WD-40 would damage them some, in all likelihood.
It might be more practical - depending upon how the battery is stuck, and what the cause is - to gently pry it forth at one end with a small screwdriver... but I do not advise this yet, until I know more.
Is it a AA battery, or perhaps a AAA battery? or is it some other type?