Elixir are probably the standard for coated strings, but you pay for the quality. I've had good experience with GHS Coated Boomers
http://www.ghsstrings.com/strings/electric/coated-boomers. For barely more than the price of normal strings, they last a lot longer.
Note that none of these coatings are "anti-rust"... the coating just means they are protected from wear and dirt for longer.
http://www.elixirstrings.com/whycoatedstrings/index.html
The type of metal used has a larger part to play in whether it will oxidise/rust, which sometimes is overlooked as people only look at the coating.