Lead is acceptable for a pinewood derby weight. It is inexpensive and easy to work with. It has a low melting point, so it can be melted and poured into holes drilled into your car. The one main drawback is the fact that LEAD IS TOXIC. See this site for facts about lead.
If you use lead, be sure to read about it first. Take the proper precautions.
Sources for lead include sporting good stores and tire stores. It is sold as tire weights and fishing and duck decoy weights. You can also get it from Amazon.com: LEAD-Ingot-Pure-99.9%