Lead is a chemical element in the carbon group with symbol Pb (from Latin: plumbum) and atomic number 82. It is a soft, malleable and heavy post-transition metal. Freshly cut, solid lead has a bluish-white color that soon tarnishes to a dull grayish color when exposed to air; the liquid metal has shiny chrome-silver luster. Lead has the highest atomic number[a] of any non-radioactive element
Italics mine, they show that it has density, for maximum absorption, is easy in construction, and of course non radioactive is necessary for shielding !.
It is also plentiful, which means cheap:
Lead's abundance in the Earth's crust is 16 ppm. This results in a great availability of lead minerals and easy extraction of the metal