Lead is not magnetic in the sense that it is neither attracted to nor repelled by a magnet. Lead cannot be charged up via contact with a magnet unlike what happens with many other metal objects, such as nails, staples and iron shavings.
Ferromagnet is the typical name for a material that is naturally magnetic. This is in contrast to a material that simply becomes magnetic for a short while after contact with a magnet as a nail is wont to do after some time stuck to a ferromagnet. Lead has the opposite effect, where it actually repels the magnetic force of an object. This is called diamagnetism.