I got a set of blue forged aluminum racing lug nuts which are 2.22 lbs lighter than the stock lugs when you weigh all of them for all 4 wheels. Not a huge reduction of unsprung rotating weight but it all adds up and they were only $49 on ebay so it was very affordable. I just need to find a matching locking lug nut and it won't look weird having one chrome locking lug nut.
A full set of stock lugs weigh 3 lbs 2.2 oz. The same set of racing lugs weigh less than 1 lb at 12.6 oz.