Dumbell plates from Sports Authority work wonders. They are cast out of cheap material and easy to drill. Make sure you use a good new bit for this project though and keep it going slow and well oiled.
I purchased my exercise weights from a second hand sporting goods store. I bought the cheapest plates (four 25# plates) with no brand name on them and drilling through them was relatively easy. We stepped up through four drill bit sizes using a cordless drill and it took no time at all. A couple bolts to hold the plates to the floor and all was good. It seems exercise weights are very much a case of "you get what you pay for." In the case of using exercise weights as race car ballast, it seems you probably want to go cheap.
Any one ever done the lead melting deal? My friend John Weisberg used to do it, but I held reservation on that technique. Might be okie dokie, might be an industrial accident waiting to happen! Opinions?
Tried lead shot, on the kitchen stove in mom's cast iron skillet... Bad idea!
Later molded a small charcoal furnace out of plaster, used an air nozzle to get the coal plenty hot and melted the lead in small iron crucible. This worked pretty well.
Now we just buy plumber's lead in 25lbs increments, drill and bolt.