Have a look at:
http://www.simetric.co.uk/si_materials.h...
which has a list of materials and their density. I'd suggest stones!
Look for concrete slabs in the garden or park
Or any old granite or marble. Look for old worktops or old gravestones
Go to a dump or scrapyard and see if you can find some scrap metal girders
If you have a Walmart in your area, you could steal wheel weights from vehicles in the parking lot. If that is illegal in your area, you could purchase some lead fishing sinkers at the same place, if the liberals haven't been breeding like rabbits in your area and outlawed lead sinkers.
I wish we knew what you needed if for. That would help. But to answer you question, think whats small and very heavy. .. scrap Steel , metal (Chains), rock.
Lead is pretty dense and commonly available.
what is the densest material that i could get for free (or very cheap) around town? Example: sand (although hopefully significantly denser than sand). help would be much appreciated