Don't you mean "nuts"? Lugs are the threaded posts.
I just went down this road. After using Enkei RFP1's for a couple seasons, the standard chrome steel lug nuts have ground up the seats a fair amount. I'm going to go with 2-piece lug nuts (like Brian recommends) from now on. McGuard's makes a nice 2-piece set, but they are "tuner lugs" so you have to use a special tuner lug socket.
Another option I'm looking at are these:http://passwordjdm.com/Project-Kics-R26 ... C1821.aspx
I've got a message into them asking if they will sell me a set where all 20 of the nuts are standard 6-point nuts (instead of including the 4 "locking" nuts). Hopefully I'll hear back from them on Monday. Otherwise, I'm going with the McGuards.