lead is indeed very good against gamma radiation because it is so dense, just do not use it to try and stop electrons (beta radiation) or neutrons. Because lead is so dense, you can use a comparitively small shield of it, in stead of a bulky wall (Mass is important for blocking Gamma radiation)
concrete was used in chernobyl because it is cheaper, and the bulkiness of it wasnt a problem outdoors in that massive heap.