I've got both. McGards on the RR (at least until I started the resto) and on the Durango. Gorilla on the Supra. I can't speak to all the designs, but the ones I've got.

The McGard design on the RR is the shank nut with the milled channel on the top flat surface. Older style, I imagine. Works well. Hard to get a grip on to remove without the key, so good in that regard. But the milled channel on the top flat surface requires that the key/socket/extension shaft on the ratchet be held perfectly in alignment with the nut so the key doesn't slip out of the channel. The chrome finish is fairly good quality; it hasn't rusted (much) in 25 years.

The McGard design on the Durango is a conical seat open nut with a smooth (or mostly so) outer surface. The nut extends out from the base so that there is an interior surface to the nut shaft which has the unique spline design to fit the key socket. The key socket has a hole through the center through which some or all of the lug stud fits. This design makes the lug nut less attractive, but with center caps on the wheel, who cares. The upside of the design is that it is a more secure way of fitting the key on the nut, with virtually no chance of slippage. The nuts have been on the Durango for 5 years with no rust (center caps help with reducing exposure); so McGard seems to have fairly good quality finishes.

The Gorilla design is a conical seat shaft capped nut with a unique spline design around the outside of the shaft of the nut. The downside of this design is that it seems like it would be pretty easy to put on a pair of vise grips and a breaker bar on the nut to get it off without the key. If the nut sits in a well in the wheel hub (as mine do on the Toyota), that's no big deal. Or if in a tight location, like between the spokes on some American Racing 200S, Torq-Thrusts, or Cragars, probably also no big deal. On exposed wheels, or front drive vehicles, probably not so good. Also, in 15 years, they've started in with some pretty good finish degradation; worse than on the McGards in 25 years. So the finish quality is not so hot.

If I had to rank 'em...
1) McGard top flat with the channel
2) McGard interior spline
3) Gorilla exterior spline