Why do you need an alternative to tungsten for photon collimation? The main alternative would be lead, as you suggested, but it is soft and toxic. Depleted uranium (U-238) is also sometimes used in collimators and radiation shields, but it is itself mildly radioactive (alpha emitter) and is quite toxic (rather hazardous to cut or machine!). Perhaps you could be more specific about what you are trying to do?
Tungsten is actually not that expensive... about $35/kg in bulk quantities. I'm not sure how sanctions affect its availability in Iran. The cost in medical applications is usually more a result of the difficulty of machining it. There are some soft and flexible polymer-tungsten powder composites which are available for shielding applications, but they probably don't make a very good collimator.
Your best option is therefore probably lead, possibly alloyed with antimony (about 1-5%) to make it harder and stronger. If you're trying to do microbeams or some very fine geometry it will be challenging to accurately machine or cut it; for large beam geometries I think it should be OK.
My concern about the use of Antimony have started when I took notice of the report of materials that appear on the restricted substances list, published by the European Union ( REACH)-"Regulation Concerning the Registration, Evaluation, Authorization and Restriction of Chemicals"-
(http://www.echa.europa.eu ) and (http://esis.jrc.ec.europa.eu/ index.php?PGM=pbt)- substances of very high concern.(Antimony is considered a carcinogenic material)
Antimony is an important material employed by many manufacturers and also electronic component manufacturers ,and I don't know if they are aware of these publication and may be other countries will adopt similar restrictions.