Lead is dense, relatively cheap, and fairly easily worked into the needed shapes. Gold is dense and easily worked, but it's not cheap. Tungsten is dense and relatively cheap, but not easily worked. Aluminum is cheap and easily worked, but it's not dense.
Concrete is pretty good too, if you have space for it. It is laughably cheap and easily shaped. It is not a dense but its other characteristics make it attractive. A good Engineer will use the material that is best suited to each application.
Depending on the type of radiation exposure, lead has the added feature that it doesn't become radioactive itself under particle bombardment, whereas other materials, like aluminum, for instance, could become radioactive if bombarded with heavy doses of alpha radiation or a neutron flux, and a portion of the material could transmute into another unstable element.
One additional factor in lead's favor is that, per unit mass, lead is the best shield against gamma rays (among non-radioactive elements). Atomic number is the key factor.