I used the Rays Duralumin 35mm ones. As ClemsonWill mentioned, they are very light but show scratches easily. If you want a more subtle look, I recommend these but no impact guns or air tools whatsoever. That should go without saying to avoid potentially scratching your wheels and lugs.
I just switched to the Project Kics R40 neochromes a couple days ago. Only issue with the R40s is that the inside does rust, however, you can prevent that by using a little anti-seize. They have a closed end design available called REVO that will eliminate this.
There are other cheaper alternatives if you don't want to spend much.
If you're a baller, go for the Volk Formula Racing lug nuts
