I've had wheels come loose on several vehicles. Some torques by tire stores, some by friends, some by dealerships.

ALWAYS tighten in a cross pattern, just like you should anything with lots of fasteners. And go "lightly snug" first pass. Then tighten in three passes.

If you use a speed gun, then make a light pass followed by a tight pass. (in a cross pattern).

Some styles of lugs have a step, and wont' self-center. Others are self centering, but if worn can still sit on a worn step.

Saw a 71 BigBlock Vette come back in a tire store with one whole side torn off, the rear rotor eat up, the bottom of the car ground up and generally a big mess - all cause the kid used a speed wrench and didn't cross pattern.

Aftermarket aluminum wheels WILL need a retorque.

I do retorque all of my wheels at home after a balancing job, etc..

I learned this the hard way. When I was about 20 I got a brand new set of Aluminum's and they didn't tell me to check them after 100 miles...until it was too late. I was on my way back to college and heard the lug nuts start ringing off. Needless to say by the 2nd one I realized what was happening. I got off of I-85 just in time...furtunately there was minimal rotor damage

I use a torque wrench when I change or replace wheels. Call it overkill but I have`nt lost one yet.
Lug nuts are a critical fastener and have a torque specification. Under tightening is bad and over tightening can cause failure as well. Usually people with lug nut problems will have hitch ball problems also.