If you don't mind (or cannot use due to longer ARP studs) a closed end (and slightly heavier than short open ended ones) lug nut, the McGard 19mm hex are about as durable as you are going to get, and they even come in black chrome if that matters to you.
The only problem could be if your wheels have a narrow lug pocket, you may need a 17mm hex lug nut.
If open ended are necessary for you needs, I would consider the Megan Racing (from Redline 360) vanadium steel version.
The various Muteki steel lug nuts are also very good, and high quality, albeit slightly more costly.