Most inexpensive lug nut options are from forged aluminum that is anodized a pretty color. While they are VERY light weight, they just feel very fragile and the anodized finish will fade over time. Pretty much you can bet that the time they'll look the best is when they're still in the packaging. Your studs and the lugs will expand at different rates from heat, and I've heard of people's aluminum lugs coming loose at the track. For everyday driving they shouldn't get that hot though.
You have to basically wait until they are cool to the touch to untorque them, and even then it's a little sketchy in my opinion. OEM lug nuts are steel. The two I posted above are steel, and have a lot more heft behind the lug. You don't have to spend that much, I was just posting up some of the nicer ones available in steel lol. I would HIGHLY recommend going with a steel lug nut though over an aluminum one. If you just want something clean and simple, I would suggest looking at some Gorilla lug nuts or something along those lines. Very inexpensive, steel, and simple looking.
Moral of the story is that the aluminum lugs on the market are pretty soft, and I prefer steel.