I did look. Rocks are way cheaper, but more tricky to use. The marble rocks seem the densest; that bag is 20% less cubic feet for the same approximate weight (50 lbs). At $4 per 50 pounds, I can get all I need for two people for a mere 25 bucks. 150 lbs is more than plenty for activities. 

…

Chains can be wrapped over the shoulder, whereas rocks need heavy duty bags and straps.

…

That low weight chain is $4 per pound. Hopefully larger, thicker, heavy chains can be found at a better price per pound. (Not even sure the going price for metal – that’d be an indicator. 

…and then there’s concrete, that can be formed into weights that can be sewn into a vest (rocks too – but not as smooth)…