The pedant in me always wants to answer that question by saying that the lead *probably* weighs more...
The logic being, that while "weight" is commonly confused with mass, it is strictly the force exerted by gravity on a given mass. The 500g is actually the mass. Which round these parts will have a weight of approx
5N. So if you take two lumps of stuff of differering density and sit them on a table, the more dense one will actually exert a slightly higher force due to gravity (i.e. weight) than the less dense one, due to its centre of gravity being closer to that of the Earths.