I need to identify a dense material to be used in a bean bag.  The
material has to be available as small (<3mm diameter) pellets, beads,
balls, or spheres.  The material should be more dense and less
expensive than Iron.  It should be safe for contact with human skin or
accidental ingestion.

Please also provide ways or contacts to obtain such a material,
already manufactured as small pellets, beads, balls, or spheres.

Just curious: Why does it have to be more dense than iron?

It is a pretty tall order to be both more dense than iron and at the
same time less expensive and non-toxic.

Here is a table of densities of some common materials:

http://www.simetric.co.uk/si_metals.htm

There is also a link to a table for metals. You might also try this link:

http://www.mcelwee.net/html/densities_of_various_materials.html#sorted

According to these tables, iron has a density of 7.8 gm/cc and
stainless steel is slightly higher at up to 8.0. Copper is slightly
more dense at 8.9, as are copper alloys like brass and bronze. But it
is hard to beat iron or steel on cost. If you want something
considerabily more dense, you could consider something toxic like lead
11.3 or plutonium 19.8! Or you could use something expensive like gold
19.3, tungsten 19.6, platinum 21.4, iridium 22.2, or my favorite,
osmium 22.6.

Iron is the cheapest metal. The only cheaper material would be some
kind of mineral (something you just mine out of ground) or a
waste-product that somebody is eager to get rid of.

At the density and price you demand, you are completely unrealistic.
AND your reward is laughable, you cheepo.

It is probably going to be lead, in the form of be-be balls for guns.

lead alloy that is contained in be-be gun balls

If you are going to be making bean bags... another point to consider
is this - a bean bag denser than iron is going to be really heavy. 
Even a relatively small bag will weigh quite a bit, so the fabric will
need to be very strong to keep it from tearing itself apart.  Also, I
wouldn't try to have bean-bag fights with hunks of lead.....

rocks