Consider
McGard Spline drives. They have a floating seat that won't marr the aluminum, which is beneficial if you're frequently removing the wheels for maintenance or upgrades. The socket to tighten them is narrow and fits into aftermarket wheels where regular hex sockets won't.
The M14x1.5 version (
clean link) is on the long side of midlength and they work on longer studs so if you have a set of winter and summer wheels with spacers that you take on and off, they'll probably save you from running open-ended lugs. The black coating is the best I've found.
What tinman said earlier is correct--wheel locks are pointless. When I got my car the dealership forgot to include the socket, so I did what every wheel thief does: got a cheap socket that's a little smaller, hammer it onto the lock, and wrench it off. Rather than being a security measure, splines are great from a durability standpoint. There's so much load bearing surface that you can't tell the difference between a set that's been taken off 250 times and maybe 3-5 times.