Lead -
Dense, penetrates better than steel, soft and easily deforms in tightly constricted chokes leading to flat spots on the shot which fly abnomally causing erratic patterns. The jagged edges also pull feathers, limiting penetration.

Copper Plated Lead -
Lead shot that has been plated with a coating of copper which makes it smoother and harder so it deforms less, in theory leading to better patters.

Hevi-Shot, Hevi-13
http://www.hevishot.com/products_turkey.html
This shot is denser than lead. The density of steel is about 7.8 g/cc. Lead shot runs about 11 g/cc. HEVI-SHOT® is about 12 g/cc.It is an alloy of nickle, tungsten, and iron. Because it is denser a hunter can use smaller pellets to get the same down range energy of larger sizes of lead shot, but the smaller pellets mean much more of them per load. That is why Hevishot #7.5 is gaining popularity among turkey hunters because it provides about the same downrange energy of lead #5 but there is so much more of it per load. This year I plan to use the Nitro "economy" load in my Mossberg 835. This 3.5 inch load contains 2 5/8 oz. of copper-plated lead 4s and 5s plus Hevi-Shot 7.5. I've seen patterns with this stuff that are amazing. This past seasonI shot two birds usingHevi-Shot 3.5inch, 1.75 oz of #6 and it was most excellent.

Addendum: I forgot to add that Hevi-Shot is very expensive. The Nitro loads are about $5.00 - $7.00 per shot, and that doesn't include shipping charges. I bought a 5-pack of the loads I used last year while attending the NWTF meeting in Nashville for $15.00 and that was a great deal.

I justify it like this - one shell to pattern with and I'm left with 4 to fill my 4-bird tag in Tennessee. Hope springs eternal.