Hey Big Papa, 

Lead shot is denser and heavier than steel, so it carries more of a punch when it hits something than steel does.  It's also toxic.  Because of this, some areas have outlawed the use of lead bullet and/or shot.

There's several alternatives to lead and steel shot, tungsten & bismuth are 2 that come to mind, but the bad thing about them is that they're generally more expensive.

Just do some shopping around, looking for "non-toxic" shot.  You should be able to find about anything that you would want then.