The nut. I was putting all the nuts back on after adding hub centric rings to my new wheels (i was feeling vibrations).
My torque wrench seemed to be acting weird, so I used a 18" breaker bar to tighten the lugs. Not a good idea.
They are aftermarket locking lugs. Made of what must be equal in strength to aluminum foil

.
I've learned my lesson. I'll be ordering better lug nuts.
The stud needs to be drilled out because there is no way the rest of the lug is coming off. I'd estimate the bottom 1/5 is still holding onto the wheel. Even if I remove the other 3 lug nuts, the wheel won't wobble back and forth at all.
I'd also imagine if me or someone else tried to drill/chisel off the remainder of the nut the stud (threads, etc) would be ruined anyways.