I guess you could get weighting in any metal if you were to specifically ask for it. That said, I think most places would use lead or a lead alloy simply because it's cheap and heavy. Naturally sets that are supposed to be magnetic would have magnets in the base, which could act as weights as well.
Are you looking for a set with a specific metal or magnetic property?
Are (plastic) tournament chess pieces still weighted with lead or are some weighted with a magnetic metal? If the latter exists, can somebody please give me some links? Thanks guys!