We shoot cowboy action, and cast wheelweights are just exactly right for that application - doesn't lead the barrels badly, doesn't splatter a lot, good accuracy at that distance.
A friend of a friend runs a small tire shop out in the country and doesn't generate enough discarded wheelweights to interest the recyclers in driving out to visit him. So he saves them in five gallon plastic buckets, and our friend picks them up. He does serious black powder target rifle, and the wheelweights don't work for him. He buys his lead alloy from a custom metals supplier.