I have two weighted vests : one I use for weight work (to add weight to squats and lunges above what I feel is safe to lift overhead--which is I think how Cathe is using them in STS), and the other I use when power walking (I wouldn't recommend wearing one for higher-impact cardio, because of the stress the extra weight puts on the knees, unless it is for very controlled plyometric work).
I got both of mine from
www.ironwearfitness.com . (they currently are having a sale through the end of June...though I think the same sale has been on since April or May, with the name changing every month! I bought my Coolvest and an undervest for my other vest during a recent sale). They also have great weighted gloves.
I really like the "Coolvest" for my walks: it fits snuggly, is comfortable, washes well and dries fast (and when it gets above 75 degrees, I have to wash it after every use because I sweat like a pig on my walks), and it doesn't look like a swat-team bulletproof vest the way my black vest does (though I sometimes wonder if people think I'm wearing a vest full of C4 explosives!). After the first couple times I wore it, I decided to wear nothing else underneath, and it doesn't gap or expose anything I don't want to expose.
The softweights these vests use (which are also used by the ankle weights/weight belt I have) are very comfortable, don't shift or leak like sand or pellets can, and don't cause bruises or rust like metal can.