when it impacts. You want your missile to reach the ground in one part, and you want it to have low air resistance, so that most potential energy goes into the kinetic energy at impact, rather than say, heating or melting your projectile or the air.

Also, the density of tungsten is about 75% larger than that of lead. Iridium and osmium are about 15% heavier still, at about twice the density of lead (osmium is heavier, but by only 0.12%)