The best I ever used for no loss of sensation were made of sheep's gut, don't remember the brand. They were even reusable, assuming the user wanted to get up to wash it out right away (ewww, I just bought new ones). However, this was before HIV; while they would protect against the standard STDs at the time (and pregnancy, of course), I don't know that they would be non-porous enough to prevent transmission of the HIV bug, even if there were no transmission of semen.
I've also heard that the cheap Durex are more irritating to the woman and may cause inflamation of the cervix, etc. These are the ones that are handed out at the sex clinics.