Looking for pure copper or Cu/Au bananas

You could try Audioquest Suregrip 300 BFA series banana plugs.  They are Beryllium copper with good set-screws (not brass, but not pure copper).  Cheaper than Furutech.

Whatever you do, DO NOT buy the Audioquest 500 or 1000 series bananas.  They are absolute crap.  Very loose fit and the set screws and case screws are so small that they are usually stripped already.

Erik, why don't you like Furutech bananas?  I have used the Furutech FP-200B bananas on several occasions and have found them to be the best banana plug.  The set screws are large and you can really crank them down.  The plug itself has a very tight fit when inserted.  They are available in gold-plated for $19 each at Parts Connexion.  (4 x $19 = $76).

I have not seen any "locking" banana plugs that worked at all.  The problem is exactly like you said -- the plugs just do not grip tightly at all.  The same exact problem exists on any other "locking" connector.  I don't like locking connectors of any type, banana, RCA, etc.

If you go to this following link, scroll down and look at the picture of the bare banana plug:

Audiophonics site - FP-200B

This model is not a "locking" type banana.  The plug itself is formed using a slightly larger diameter than the standard banana socket.  The stiffness of the metal acts as a "spring" to hold the plug in the binding posts.  I have used these many times and the connection is extremely tight!  The gold-plated models are $19 each and the rhodium-plated are $22 (not that much of a difference).

Once you clamped down the set-screws, you can either use the existing screw-on shell or just heatshrink the ends.

A note on heatshrink.  Not all heat shrink are created equally.  I have used some pretty horrible heatshrink that wrinkles and kinks when shrunk.  The end result looks like absolutely crap.  The Polyolefin 3:1 heatshrink from Sonic Craft is really nice.  I'm sure many other places have good heatshrink.

The heavy duty adhesive lined heatshrink can be used, but keep in mind that if you ever want to remove those banana plugs, the adhesive lined heatshrink is going to be a pain to remove and it's going to leave a glue film on the metal/cable.  For instances where I want a heavier duty heatshrink, I just use two heatshrink tubes to provide a double-wall (one on top of the other).

I have found that the Neutrik XLR gold-plated connectors are pretty good on resolution and speed (i.e. they are not warm and slow), but they have a dirty sound, almost like a distortion.  The Furutech XLR are the best I have used -- the gold-plated are very smooth and clean but very warm and slow (if you like this type of sound, they are excellent).  The Furutech rhodium is high resolution and transparent (although requires a very long burn in period). 

I have only used Oyaide Focus XLR connectors on digital AES/EBU cables, but they ended up being the absolute best for a digital cable application (better then gold/rhodium Furutech).  The Oyaide XLR had the best resolution and provided a neutral uncolored character (for digital cable).  I don't know how they would sound on an analog cable.

@mitch2 - Mitch, if you are talking about the Cardas 3455R power cord connectors, I completely agree.  The shell case pretty much breaks off as soon as you touch it.  I had to glue several of these together once they were put on.  Total waste of money, and the Furutech FI-15 (R) series is much better and more durable.  However, I cannot see how the Cardas XLR connectors would "break".  They are a solid metal pieces that thread onto each other.  I refuse to even try their new expensive E-5 plugs because Furutech FI-15(R) are so good and about a quater of the price.  Can you explain more on what Cardas items actually break?

I have used the Cardas binding posts on several occasions with excellent results.  I like them because they are a heavy piece of metal with easy mounting capability if you use their BPMP mounting plate.  The sound on the rhodium/silver models are very good and I would say the Cardas connectors are a "poor man's Furutech".  They are billet copper alloy, but also plated with rhodium/silver.  About half the cost of Furutech XLR connectors.