Assuming the propellant (the gunpowder) is powerful enough to get a heavy bullet moving as fast as a light bullet (and it typically is), a heavier bullet will have more kinetic energy (and momentum, that has advantages separate from high KE) than a lighter one.
Lead is very heavy and cheap. Other metals are either too light, too expensive or just don’t offer enough of an advantage to bother with, at least for non-military applications. (Although you’ll sometimes see things like brass slugs for shotguns or “elephant” rifles, they’re harder than lead and not as likely to disintegrate on impact, so they might be legitimately useful. There’s also lots gimmick ammo out there, but most of it is no better than lead jacketed in copper, and virtually none of it is worth the price.)
Also, back in the day when manufacturing technology was less advanced, it was a *lot* easier to make consistently-sized spheres from lead than from other metals. You don’t need a very hot fire to melt lead, and it’s so soft that any imperfections or flash left from casting it in a mold you can just clip off with a simple tool, or even trim off with a knife.
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