The heavy ones with the chromed, knurled steel levers are the most effective.
I found you can actually get the skewer tighter with the newer type with the longer levers - for example the ones that have come with Deore* hubs for the last few years. I don't know how much is down to the lever simply being longer, or if the cam is different as well.
BTW, tightening any skewer more than usual will effectively make the cones tighter (due to axle compression), so the cones may need adjusting.
* These are for 135mm (MTB), but I'd expect the modern Shimano 130mm ones to be similarly good.