For the real puzzle lovers which can spend some serious money there is the website of Maxton Art Gallery.
On this site you can buy puzzles which consist of shaped metal puzzle pieces from different kind of metals like brass, copper, aluminum, steel, stainless steel plus and so on. Different shapes are available, from cube, tower to pyramid.
This would really looks nice in my collection, but first I have so save some money before I can buy one. Happy Puzzling!
Update : check out another Maxton puzzle called Bronze Metal Cube Puzzle