People need to move away from the D&D idea that adamantium is a +10 material or whatever. It's not like that in DF anymore, what it is now is an extremely strong and extremely lightweight metal. This makes it very good for armor and poor for most weapons (which require a little momentum to be dangerous), however it *should* be great for things like spears and thrusting swords, though I don't know if that's actually the case right now.
Weapons that use a slashing motion (some swords, axes, hammers, mauls, etc) do their damage by building up momentum through their swing, which is then transmitted to the target. Heavier weapons are always going to be more damaging when they connect. However, I think the current system downplays the importance of balanced weight in regards to accuracy and how tired it should make the wielder. A lead maul would indeed be a completely devastating weapon, however the windup should be so long that it's easily dodged, and when an attack misses the attacked must expend the same amount of energy slowing down the weapon for another attack as he did in attempting to land it, so he'll be tiring quite as quickly.
As mentioned above, ideal weapons would probably be an alloy of adamantium and lead or steel (or adamantium with inlayed weights) to harness the hardness of adamantium and its ability to hold an edge / resistance to deformation and then using the other metals to reach an ideal weight balance.