Of the three principle irradiations, alpha, beta and gamma, alphas are least penetrating while gammas the most, and betas in between. Alpha particles (+2 charged, nuclei of He), beta particles (electrons) and gamma rays (high energy photons) lose energy through interactions with atomic electrons which ionize atoms.
The charged particles lose momentum via Coulomb interactions and collisions. The massive alpha particles lose momentum rapidly to atoms (and can interact with the nucleus) and a little to the atomic electrons, while the light beta particles lose momentum mostly to atomic electrons. Alpha particles can be stopped by sheets of paper or the outer layer of skin, while betas require some thickness of metal. Gammas (and X-rays) are very penetrating and require much more shielding.
Gamma rays (photons) undergo three types of interactions. For energies above 1.022 MeV, they can produce electron-positron pairs through interaction with atomic nuclei. Otherwise, gammas undergo Compton scattering in which an atomic electron is knocked out of its atom, and the photon loses energy, or at lower energies, the photon can be completed absorbed (photoelectric effect).
The attenuation of radiation is governed by statistical or random processes (much like decay). For a given length of material, there is a finite probability of interaction, and as thickness increases, the probability of interaction increases.
See - http://www.fas.harvard.edu/~scidemos/QuantumRelativity/PenetrationandShielding/PenetrationandShielding.html
Gamma ray interactions with matter are entirely different from that of charged particles. The lack of charge eliminates coulomb interactions and allows gamma rays to be much more penetrating. The interactions that do occur are by way of the photoelectric effect, Compton scattering, and pair production. The probability for any of these happening is specified by a cross section and the linear attenuation coefficients for gamma rays are defined by these cross sections. Since linear attenuation coefficients vary with the density of the absorber, even for the same absorber material, the mass attenuation coefficient (linear attenuation coefficient divided by the density) is more useful and the attenuation law is written as . . . .
Lead and other heavy metals are effective absorbers because they contain a high density of electrons. Thorium and Uranium are great absorbers of radiation, but they are also somewhat radioactive themselves. Lead is essentially inert.
It should be indicated that heavy metals are toxic (will cause neuropathy if ingested) and should be handled with care in order to avoid ingesting any material.