(The following is provided for informational purposes only. I hope you find it interesting!)
Density is one of the fundamental properties of matter. It is the relationship between the volume and the mass of a material. There are some magic tricks that rely on the force of gravity to work smootly, and, having a limited amount of space to work with means density becomes an important consideration. A good example is the classic Devano Deck which requires a significant amount of mass in a tight space
Finding the right material, especially if you need a high density material, can be challenging! To see why, have a look at the following list of selected metals:
A pure tungsten bar from China
Notice that all the materials with a density greater than 10 are either
1. expensive/rare (gold, silver, platinum)
2. dangerous to handle (lead)
3. hard to work with (Tungsten is one of the hardest metals) or
4. not commercially available
While tungsten might be relatively inexpensive, and has one of the highest densities, it is unlikely you find any in the shape you need because it is extremely hard to cut. Some companies specialize in cutting tungsten for the aviation industry.
Carbide - a good solution
One of the best options might be carbide (more accurately called Tungsten Carbide). Carbide is a mix of tungsten and carbon powders, bonded under high pressure and heat, resulting in a novel high density material.
"Carbide blanks" can be found in many useful shapes and at low thicknesses.
These tungsten carbide blanks have a density close to 15! With a thickness of only 1.9mm they can be useful in a lot of magic creations! Each one has a mass of 3.7g
Another source of high density material useful in magic comes from Pinewood Derby enthousiasts. Various shapes and sizes of Tungsten (and tungsten-like materials) are sold to hobbyists to increase the mass of their small wooden vehicles. An ebay search for "pinewood derby tungsten" should generate some useful results.
Thinking of shimming a playing card with something heavy - perhaps for an impossible balancing effect? Pure tungsten sheet, thinner than a playing card, is also available, but can be a bit pricey.