It depends on what you're after really. If durability is the main priority you'll want to look at the nano-sealants (Nanolex, GTechniq, Wolf's, 22PLE, etc) which can last up to a year between applications, but they tend to be considerably more expensive as a result. If cost is an issue Poorboys Wheel Sealant is very cost effective but will only last two or three months between applications.
As with paintwork, you'll get much better results (both looks and durability of the LSP) if you clay, decontaminate and cleanse/polish the wheels before applying any coating.
I don't mind re-sealing my wheels every few months so I use Poorboys, which I've found to be the best wheel wax of the numerous that I've tried - I've not tried any of the nano-sealants though.