Remove faucet valve stem

As Steven says, hit it with some penetrating oil first (WD-40 should work for this). Give it some gentle whacks against a piece of scrap wood in all directions to help break any bonds. Then clamp on to the bottom square part and try to torque the nut on top with a socket. If you still can't get it, you may find it easier to replace the entire thing.

Found a similar design at the Delta website. The round knurled piece should unscrew. The male threaded section should also unscrew. Apparently some have a hex shape to facilitate installation. Some have an internal female hex shape that is removed by an allen wrench. This allows the retaining plate to be removed. If there is enough room between the backsplash and the spout you could try holding the piece under the sink with a pipe-wrench, vise grips or large pliers and have someone spin the faucet.