The point of the riddle, as I've always heard it, is to take advantage of the fact that we're primed to think of an even amount of lead and feathers (by volume, presumably) as having different weights due to density, we forget that the weight is the given variable.

I believe this is the incarnation of the riddle that Annoyance is referencing. I always heard the materials in this riddle as feathers and lead, probably because lead has strong associations with heaviness and density. Maybe there are two different riddles using the same materials.

EDIT: After looking it up, I can see that there are two different but similar riddles with feathers/metal. One has to do with troy weight/avoirdupois weight, the other with density.

http://answers.yahoo.com/question/index?qid=20070925160232AAR2Arr

Note that someone suggested the same riddle as you, and others answered the question as posed.