Let's see, we need something soft (so as not to offend the BATF), cheap and dense.
Bismuth is only a little less dense. It's far more expensive, although that can be cut with an alloy like tin. The big problem is that bismuth is brittle, so bye-bye expanding bullets. So bismuth is out as a true replacement for bullets.
Actinium might work, but it's highly radioactive. Cool side benefit: Your bullets will glow in the dark. Extra benefit against criminals: Even if the shot isn't lethal, the radiation will likely finish him off.
Denser than lead there's a mainly radioactive materials, highly toxic materials, and hard metals. Gold would make an awesome bullet, about the same hardness and almost twice as dense and not brittle, but the cost is rather prohibitive.
Societies have been using lead bullets for centuries for one reason: It is the best and cheapest material for the job. There is no reasonable substitute for the price, at least not one that would be allowed by the government. I wouldn't mind a tungsten powder/plastic composite though. It would be denser than lead and could still expand, but we get back to the expense problem.
Many waterfowl hunting areas prohibit lead shot now, you must use steel shot.
Yep. There are better materials but each is cost prohibitive. Hell, even just a copper clad FMJ bullet is far more expensive than a cast lead.
depleted uranium...soon the mooolahs will have plenty for the market.../s