I purchased a few Vinyl covered Scuba Dive weights to be used as a DIY counterweight on a Gini Rig (seen here), and also ended up also using them for the DIY Crane (seen here). It's much more expensive than basic round Gym weights, but they are smaller and have a much better aesthetic appeal when mounted to a rig. I did of course have to drill through the Dive weight to mount a 15mm clamp, so there's a little DIY involved with that.
Another option for a counter weight solution is the Opteka 4lb brick. Originally designed to work with one the Opteka CXS Shoulder Rigs, I have other plans for it.
It comes with a solid metal bracket, has several through holes, a slotted center, and quite a few 1/4x20 threaded ports to make mounting the brick to your project much simpler. I'm not a fan of the spray painted logo, but it's easy to sand off for the complete flat black finish. I have two here that can be stacked together for one of my larger Jibs. (click here to find the Opteka Weight via eBay).
Opteka 4lb Brick Counterweight