Learn Arabic (Modern Standard): ما أثقل هذا الرصاص!

This is the standard Arabic exclamation structure. To say "How [adjective]!" or "What a [adjective]!", you use ما followed by the adjective transformed into the أفعل (af'ala) pattern. So, the regular adjective ثقيل (heavy) becomes the exclamation ما أثقل (how heavy).

What vowel goes on the end of أثقل in this exclamation?

It takes a fatha (a-sound), making it أثقلَ ('athqala). Even though it translates like an adjective in English, in this specific Arabic structure, أثقل actually functions grammatically as a past tense verb. Because of this, it takes the standard fatha ending of a past tense verb.

Why does الرصاص have the definite article ال attached to it?

In Arabic, to say "this lead" as a single connected phrase, the noun after the demonstrative هذا (this) must have ال (the). If you drop the ال and just say هذا رصاص, the grammar changes and it becomes a complete sentence meaning "This is lead."

I know رصاص from the Arabic word for pencil. What exactly does it mean here?

The word الرصاص literally means the heavy metal "lead". A pencil is called قلم رصاص (literally "pen of lead"). On its own, رصاص usually refers to the metal itself, or to "bullets" (which are traditionally made of lead). Since this sentence is exclaiming about weight, it refers to the heavy metal.