Because of our ongoing discussion, I was curious as to the composition of the weights in some of my chess sets. I tested the sets using an extremely powerful magnet. Here are the results.
House of Staunton "Dubrovnik" - LEAD
House of Staunton "1936 Nottingham" - LEAD
House of Staunton "Mechanics Institute" - IRON/STEEL
House of Chess "Zagreb" - IRON/STEEL
House of Chess "Monarch" - IRON/STEEL
House of Chess "Encore" - LEAD
The Chess Piece "Fantasy Knight" - LEAD
The Chess Piece "Elite" - LEAD
The Chess Piece "Royal Padauk" - LEAD
The Chess Store "Zagreb" - LEAD
Alan Dewey "Stubby Set" - LEAD
This certainly isn't definitive, some vendor use both. Steve Livingstone from The Chess Piece told me that he only uses lead in his sets.
I thought I read somewhere where the "new 1849" sets will have a special type of weighting, I may be wrong.