If you are concerned about how much lead is being put into our waters, but have not been satisfied with steel weights, check out these guys:

www.hevishot.com

They make a non-toxic lead substitute for shotgun shells, and are looking into fishing weights. The upside is that the material they use is actually 10% denser than lead, is non-toxic and does not corrode; however, it costs about 15 times as much and cannot be melted and cast into shape due to having a much higher melting temperature than steel.

I have also heard of ceramic, concrete, and cast iron weights.