I once bought a set of locking wheel nuts. They were "good quality" and cost me about £20.
2 weeks after spending almost a grand on new 17's and tyres, somebody replaced them with some bricks. nice. (They also put the bricks on my sideskirts rather than jacking points, scratching them and bending them out of shape)
About a month later I read a review in autoexpress on locking wheel nuts. The ones I had previously bought took autoexpress's "thief" just 5 seconds each to overcome. There were a variety of different times for different bolts, but the best by far were McGards. They were over £40, but nobody could get them off. In the end, they only managed to get them off after many minutes by using a mains powered drill, which lets face it is a bit extreme!
So when I bought my replacement 17's I put the McGards on. My car was parked where the theives previously nicked my last set just a month or so earlier. A few days later they tried to nick my new wheels, but couldnt get past the McGard wheel nuts! In the end they tried to break into my car to get to the locking wheel nut key, which you inevitably have in the boot to replace the spare when you get a puncture. They couldnt get past my Vauxhall deadlocks however, and aside from requiring a new lock and an entire door resprayed due to scratches, I kept my new wheels.
Moral of the story? BUY MCGARD WHEEL NUTS OR TAKE THE RISK!!
Oh yeah, and don't live in Birmingham.