I bought spline drive lug nuts.
They were cheap, they are light weight and your average tweaker/teenage wheel thief isn't going to have the right socket.
More experienced thief's won't be stopped but nothing short of a Denver boot will stop them.
The only downfall is the socket, you need an adapter to use it with a torque wrench and that's a pain when you are trying to change wheels at the race track.
My solution that I'm working on is to buy a spare socket and a impact socket. After a little lathe work I'm going to weld them together to make it 1/2" drive like it should be. If that's a success I'll do the same with the original and have one from my breaker bar (to loosen) and one for my torque wrench (to tighten).
By the way, if you are going to change wheels often, a torque wrench is the way to ensure proper torque. If you can find a coupon or wait for a sale, you can get a 1/2 drive clicker wrench from Harbor Freight for $9.99 with a nice plastic case.