Longer lug nuts allow you to potentially run extended studs in the future. Closed lug nuts help provide additional protection against the outside elements. This can be mitigated with proper stud/lug nut care.
Two-piece lug nuts do protect the rim to a certain extent. Once you bake them enough with heat and stuff them full of brake dust, the two-piece lug will eventually seize and it'll basically act like a solid lug nut.
Lug nuts come in a variety of materials. My personal favorites are painted chromoly steel and anodized aluminum 7075-t6. Titanium has its pros/cons.
On our own shop CSG BRZ, we use our own lug nuts which are hot forged aluminum 7075-T6 anodized to MIL standards. @
Captain Insano has a similar setup to what you're looking for.
http://www.ft86club.com/forums/showt...t=25182&page=2