Most people might think you need weights when diving to make you sink, well it's more to let you sink. A weight system usually comprises of a belt and a few weights, just enough to offset your positive buoyancy, which will allow you to sink slowly with the aid of your BCD.
Alternatively, you may prefer a weight harness or integrated weight systems which come as part of your BCD but the weight belt is the standard piece of kit which most divers learn with. All of which use lead weights and all of which must have a quick release system. The quick release system is the most important feature of any weight system as you must be able to shed excess weight, using just one hand, in the case of an emergency.
A typical weight belt consists of 5cm/2in nylon webbing threaded with weights and a quick release buckle as seen in the picture. Variations include different belt materials, some with patterns and brightly coloured which not only makes them more stylish but easy to spot should you even need to release them in an emergency. You can also get weight belts with integrated pockets or ones which use lead shot pouches instead of traditional weights.
Whilst lead shot (most commonly used for BCD integrated weight systems) is more comfortable to wear on a weight belt, it is far more trouble to set up. Remember, whichever method you favour or however you prefer to wear your weight system, it is clear of all other equipment so you can release it quickly. Some, especially the integrated system, will have more than one quick release which is fine as you may not need to shed all your weight, just enough to establish positive buoyancy.