Stick with a dense metal. Those darts are thinner and will block less when they are stuck in the board. The cheap darts are brass, and can be like 3/8" in diameter. That kind of size can easily block the triple zone, or the double bull; and are very difficult to fit all three in either of those zones as well. The more expensive darts tend to be 1/4" or less in diameter. You can stick all three in the double bull, or a triple zone - I won't say easily, but with practice you can do it.
I had a set of 28gm darts that I really liked, but some drunk guy busted the tip off one of them. Now I'm using a 24gm set that I like decently, but I think I'd go heavier again next time. Those 28gm darts would rarely ever fail to stick.
But there's no substitute for being able to go test some different styles out. And even once you buy the darts, you have to experiment with different lengths of shaft and types and sizes of flights. It's a long process.
You'll also want a good board. Get one with the diamond wire rather than the round wire. Less rebounds. And if you have the money, get a set of darts with the shock-absorbent tips. With those and a diamond wire board, you'll almost never have to watch your darts bounce off the inner bull ring.