I bet copper, iron or steel poisoning would kill just as dead.
Depleted uranium. Or maybe bismuth metal.
Full metal jacket works.
How about Teflon coating on the bullet itself?
Tungsten is denser than Steel or Lead, just more expensive.
The Lone Ranger used silver bullets, but silver is not as dense as led, and they wouldn’t penetrate as far. 11,340 (kg/m^3) for lead, 10,490 for silver.
Tungsten is 19,600, Copper is 8,930
Bismuith, also used for shot, is not as dense. A mix of Tungsten and Bismuth can be made to match lead’s density.