I just bought a set of McGard. Haven't even twisted them on yet while the car is getting painted, but they look great. Triple plated, so no chips, no peeling, no rust ever. Each nut ends up being $2 vs the $1 for the cheap stuff that usually looks lousy in 2-3 years. McGard is already known for their wheel locks so you can get a whole set of locks and lugs.
be very careful with giving the car for inspection/service when wheel locks are used. most a$$hat mechanics will use the impact on the keys and break them then call and say they cant get your wheel off! snap-on sells a tool to remove them when they are turned into junk....wonder how i know?