Thanks for your response, Rennners. I find that there are some bits whose shanks fit so tight I have a hard time removing them from the collet no matter how deep they are set. In cases like that, I put the collet in a vice and tap them out. Other bits fit such that they can be removed easily, again, depth of set notwithstanding
Also, as an aside, I don’t know if it’s the case with other brand routers but with Porter Cable routers sometimes, when trying to remove the bit, there is a point of loosening the collet nut that you have to go past in order to break the clamp pressure or some such other thing. I learned that trick the hard way, after ruining a router bit trying to remove it one time when I didn’t loosten the nut enough even though the nut seemed loose.