Washers...rocks..fishing weights...
I'm sure you'd want a weight in the feet. I'm not a marionette puppeteer, but I'd also think one in the hands or the forearms would be good. Torso, maybe?
I'm calling PuppetFest Midwest today to tell them which workshop I want to take...I'm *planning* on taking Nick Barone's, but man I really want to take Phillip Huber's (I just know I won't use the knowledge as frequently and let's face it, I need some building help)