The cut test that Snuffy wrote about is probably the most fool proof way to know.
A few other ways to identify them;
Lead is usually pretty dull colored, and sometimes painted with a cheap looking silver-gray paint. Zinc has a slightly shiny surface, usually.
All lead wheel weights I've come across have numerals/letters cast as part of the wheel weight, and as a result the numbers you see on them protrude from the surface of the weight, like this:
See how the letters stick out on this lead weight?
All zinc weights I've seen have the numerals and letters stamped/pressed/cast into them below the surface of the rest of the weight, like this:
Note that the figures are pressed
into the weight? Also, almost all zinc weights have Zn on them.
Iron weights are done the same as zinc, but you don't have to worry about them. You will not be able to melt them into a liquid with a home furnace.