Hi BelAirSteve,
I use lead wire, lead free wire, and bead heads. The lead free wire is required for nymphs in Yellowstone, and probably other places as well. The vast majority of the places I fish, lead wire is legal.
That said, for small nymphs lead wire is tough. It is difficult to get much wire on small hooks without making the fly hard to tie, getting it to far back and interfering with the gape, and making the fly bulky. The small amount of lead wire on a small nymph does not affect the sink rate of the nymph greatly. Wrapping wire on a hook is also more time consuming than putting on a bead.
For those reasons, I have gone primairly to bead heads for nymphs, especially for smaller ones. The larger nymphs, #12 or #10 and larger are more of a question, and I go with either wire or beads. For really large nymphs, like big stones, etc., I go with wire virtually exclusively. With the big nymphs you can get enough wire on the hook to really sink it without interfering with the gape. It is also less obtrusive than is a bead.
To comment on one of your other questions: yes, the use of lead wire is very common.
Secondly, I tie most nymphs both ways. It is useful to have weighted nymphs for some fishing, and in other cases it is nice to have the same nymph unweighted.
Regards,
Gandolf