Lead shot and bullets have been banned in many areas because they poison the environment
Main substitute materials are steel, bismuth and tungsten
Main advantages of tungsten are that it's very dense and very hard
Density allows the pellets to fly long distances without slowing down, while hardness allows pellets to keeps their shape while being accelerated by powder charge, which increases muzzle velocity (when pellets of lead are deformed during acceleration, that deformation absorbs energy which could have gone into acceleration and furthermore lead only has about half density of tungsten)
We usually can manufacture densities of between 14 and 16g/cc (lead alloy is only 11g/cc) in all sizes
We can manufacture special alloys and control dimensions to tight tolerances