Pie weights prevent the crust from forming air pockets that bubble up or shrinking as it cooks. They weight down the dough so that it holds its shape and stays firmly nestled against the pie plate.
As far as what kinds of pie weights to use, you have options. There are ceramic balls and also metal chains which coil around the inside of the pie crust (and are easier to lift out, since they're connected). You can find both for around $10 to $15. But you can also use dried beans. Now, you won't want to eat the beans after baking them (they take on a funny flavor, or so we've heard), but you can re-use them in blind baking pie crusts.
The picture above shows pie weights wrapped in cheese cloth, which would make them easy to remove, but it's not necessary. And we also think it would prevent the balls or beans from getting to the edges of the pie crust.
Some recipes call for lining the crust with aluminum foil before adding the weights, but parchment paper allows for a little more breathing and air flow, which will help the crust bake. Rose Levy Beranbaum, author of The Pie and Pastry Bible, once told us that she uses rice instead of beans. She recommends lightly buttering the parchment paper and then uses the toasted, buttery rice (after it comes out of the oven) in rice pilaf.
What about you? Do you use pie weights?
Related: Enter Our 2008 Pie Bakeoff!