Mithril was my first assumption, but given how cagey and borderline paranoid they're being about it, I question that. After all, we know the Dwarves traded mithril goods with the Elves, so while it's a precious resource it's not like it's mere existence should be a state secret.
Aside from the Silmarils, what other objects would warrant that behaviour? The only other thing that comes to mind is The Seven. IIRC Celebrimbor only personally made The Three, with the others made by elven smiths under his direction, and of course The One was forged by Sauron himself. So it's possible that for the purposes of this show that at least some of The Seven have already been forged (possibly in Numenor) and sent to Durin as "gifts".