Allow me to bust out my intellectual chops for this discussion.
On the idea of using non-magnetic metals: I think Magneto (despite his name and his "magnetic" powers), can manipulate non-magnetic metals as well. I'm sure somebody has shot a lead bullet at Magneto, and he's stopped it. Why? Because the only truly magnetic metal is iron (and its derivative, steel). And, if Magneto's only power was control over iron and its derivative, he wouldn't be able to stop lead bullets. Let us conclude, then, that Magneto has power over all metals.
On the idea of using depleted uranium: That *is* a metal.
On the idea of using a wooden gun: It would fall apart. Unless you use a bow-and-arrow. That could work. Although you wouldn't be able to tip the arrow with anything, so I don't know how well it'll do against his armor.
On the idea of using a diamond bullet: It would shatter under the force of gunpowder. Yes, diamond is that hardest substance out there, but it's not durable. A bullet of soft wood, for example, would disintegrate from the heat, but a bullet of diamond would shatter. Metals are the only known materials out there that lie in that sweet-spot between durable and malleable. You can't have something too soft, but something too hard will simply break, because, contrary to popular belief, harder does not mean harder to break. It actually means easier to shatter.
On Magneto's metallic awareness: He can "sense" metals. On several occasions, he comments that he "feels" Wolverine's presence (the adamantium skeleton). A shot from more than one km away would take some time to hit (about 2 or 3 seconds). He'd have time to sense a sniper's shot.