Sorry!
Well Mcgurd are the only ones that are Thatcham approved (that i know of) and are OEM on most cars. Problem is like you said, they do have a tendency to break (in most cases they have been weekend by an Air Gun)
IMO they are the best but by god are they expensive. For the trouble to a thief of getting them off, you may be better to buy 2 half decent sets for £30 than 1 great set for £40 / £50. At the end of the day they can still be taken off but 1 set is easier than 2..
The only ones that you wont get off without wrecking a wheel are the high security ones as they have a rotating collar to stop a socket being slammed on.
Sorry im not to specific,
Ben