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Pinhead Skewers also have a special wrench for your keyring, and have the same downside as the Deltas. Upside: They also make locking seatpost bolts and headset caps. In addition to selling under their own brand, they private-label for others. On-Guard and Trek locking skewers are made by Pinhead. Prices vary by set and brand.
Just a quick correction: Pinheads don't all use the same wrench. I'm trying to find out exactly how many combinations they have (I know it's not as many as Pitlocks' 256, but I think I remember it being somewhere in the dozens), but at least anecdotally I can tell you that my friends and I don't have the same combinations, so when we go on rides we all need to have our keys.