I bring two 2 lb and three 1lb soft shotbag weights in my carry-on. They take up no room, and have never been a security check problem. The TSA inspectors almost always do a visual after the X-ray, but when they see the reg, mask, etc., they don't even question the weights. I bring the 7 lbs of soft weights because I use them to achieve neutral buoyancy when snorkeling, which I do a great deal of on my own. I also use them while scuba diving, with an additional one or two pounds borrowed from the dive operation. Everywhere I've dived in the Caribbean, Central America, etc., the dive operations have always had plenty of weights, though almost always the solid cast types. I probably would not bother bringing my own weights if I was only scuba diving, though. As far as knives go, they absolutely must go in your checked luggage. I was asked on one trip recently if I had any hooks in my carry-on. The TSA saw my travel rod, and made it clear they would confiscate any large fishooks or hooked lures. Knives are really asking for trouble.
