Plastic triple weithed. You can also have it on Wood if you want to, but they are considerable more spensive.
http://www.thechessstore.com/c=xwx6DZ9Na41NOSnL3ScfrDOKk/category/00020-plastic-chess-sets/
Metal is also a good option:
If that is not enough for you, then consider some magnetic or even some board with holes and pices with pins, like traveling boards are made for shaking conditions.
http://www.quality-chess.net/magnetic-chess-sets.html
This websites are just sugestions, I like their products.
Hey guys, I need help picking a chess set. I'm currently using a fairly cheap wooden board I bought at a games store, but the pieces get knocked over far, far too easily. I'm looking for a set with pieces with a huge amount of weight on the bottom, so I don't have to worry about being so careful when my hand glides over the position. And I mean really heavy. But nothing fragile like marble or glass. Does anything spring to mind?