The only naturally-occuring elements denser than gold are Platinum, Osmium, and Iridium. It would probably be possible to make a tungsten-platinum allow which was as dense as gold; I don't know how the price of the alloy would compare to gold itself.
I think I saw an old tv movie with that hook. Tungsten something.
Probably worthwhile for the scam, since some mines process 40 tons of ore for each ounce of gold.