It's absolutely, 100% positively the hubcentric rings. Well, that or an imperfect balance job (really, you have to plead with the guys to "make it absolutely perfect, PLEASE"). Without the rings the wheel can and will move ever so slightly relative to the hub and will make all the balancing in the world worthless. The lugs may center the wheel - but they aren't designed to carry the weight of the car - they would need to be torqued down much harder to accomplish that anyways.
I had some crappy plastic rings on my car that had been pretty beat up after countless wheel removals. I wouldn't have thought much of it, but after basically rebuilding most of my front suspension (which thankfully, doesn't take much) and balancing the wheels many times, it was the last option.
And wouldn't you know it, it's always the damn cheapest part that causes the problem.
Discount Tire gave me the aluminum rings for free - the guy at the counter claimed "they aren't worth ringing up". Reportedly they're part number A670 from TireRack (you'll have to call). They're identical to
these except mine are anodized blue (oooh! ahh!) - and they were $29 cheaper.