All heavy elements are formed within stars through the process of nuclear fusion.
For the majority of a star's life, it fuses Hydrogen in to Helium...but near the end of the star's life heavier elements are formed as it desperately tries to hold itself up under its own weight. The star's own weight is trying to collapse it, the star tries to counter act this by releasing a great deal of energy (through fusion) to hold itself up. By fusing Hydrogen into Helium a lot of excess energy is released, but eventually the Hydrogen will run out and heavier elements will be forced to fuse....yielding less and less excess energy (it takes an increasing amount of energy to fuse heavier nuclei with decreasing amounts of energy produced). Iron is the point at which no excess energy is given off and any element heavier than Iron (such as Gold) actually consumes more energy than it gives off when fused. This is why the heavier elements we see today are far rarer than lighter elements...because they were only made in the last few moments of the star's life.