For my vintage matches, I load the Hornady 220 gr RN, which is jacketed with a soft lead tip.  I also occasionally load Sierra 220 gr RN which has a slightly different ogive, and aren't as accurate in my Krag as the Hornady.  The Hornady bullets have the same dimensions and ogive as the original cupro-nickel 220 gr RN bullets in the original ammo.  Hornady used to have a FMJ 220 gr RN bullet, and I used these until I couldn't get them anymore.  They were vastly more accurate in my Krag than the current bullets, but the Hornady Interlock bullets are designed for hunting, not match shooting. 

There are some who use cast in their Krags for CMP matches... but I think most are using jacketed bullets.  I shoot cast out of my cutoff sporter in benchrest cast bullet matches, although I haven't been to a cast match in over a year now.