Are you using aftermarket wheels? Even if you're not, make sure the wheels are completely centered on the hub while you are tightening the lug nuts. I had this exact problem while I was running wheels that required a spacer....it was virtually impossible to center the wheels on the hubs.

The best thing to do is to get wheels that don't need spacers...and get a set of hubcentric rings. If they didn't come with your wheels (they almost never do), you can get them for like $12 shipped off eBay. Even if you're not using spacers, the hubcentric rings can still do wonders for solving those annoying vibration issues.