Lead was and is used because of its mass - it retains more energy at a distance than any other material ever conceived. Also, it deforms easily, allowing it to grind all the way down a barrel without causing damage. Steel, on the other hand, can cause damage to barrels that weren't designed to handle the additional abraision.
As far as I know, there isn't yet a range or club that doesn't allow lead shot for clays (although they often set a maximum shot size of 7 1/2). Lead is perfectly legal for upland hunting, too.
So, the only time you really need to worry about non-toxic shot is for waterfowl. For this, Tungsten matrix is the best (AKA Tungsten polimer, depending on the manufacturer). Why? Because tungsten polimer is a tungsten core (heavier than lead) with a polimer coating. The polimer coating is easily deformed and protects your barrels, similar to lead. The combination of tungsten along with the polimer coating is almost the same density as lead, which means it has similar energy retention characteristics as lead.
The main reason shooters give for not using Tungsten (or Bismuth) is the cost of the ammo. Don't know about you, but I spend a lot more on food, fuel, shotguns, and other gear then I'll ever spend on shells. Sometimes more and sometimes less, but in the average outing I only go through about a half box of shells. I'll pay extra for the right shells with the right load, especially if they pattern well through my gun. You'd be surprised how often its not the heavy load or the expensive brand that patterns the best. You'd also be surprised at how often the same ammo patterns completely differently in different guns.
SS