I've experimented with all different types of lead rigging. 95% of the time I run a piece of 1/4 ich pencil lead on my mainline then a bead to act as a buffer between my knot and swivel. Same as Damien's picture only I don't use egg sinkers.
If I'm fishing a really "snaggy" spot I'll switch my set up so the lead can pull or pop off if it gets hung up. I rig this up with either a piece of mono tied to the TOP eye of the barrel swivel, then crimp the lead onto the line, or a small piece of rubber tubing onto the snap of a snap swivel.
The odd time I'll pull out the split shot. Normally when the water is super low/clear. Whether it's more stealthy or not, it gives me a bit more confidence under such conditions. I'll also dig out my clear floats and flourocarbon leader line too. Overall though I don't like split shot as I find after a while they start to slip on the line. Like I said I like fishing this way under such conditions, however I don't think it makes much of a difference really as a buddy of mine fishes foam floats, mono leader and pencil lead 100% of the time even when the water is gin clear and most of the time he has more dead fish on shore than I. However he has about 10 years more time on the river than I do so I can handle it. The odd time I out fish him it makes my day and really burns his a**