Plain playsand works great. You really have to rinse it out well, but I got about 40 pounds for about $5. Pool filter sand is only a little bit more expensive, but you don't have to rinse it quite as much. Lots of people use those two types with great success, and it is much safer than using "wild" sand from local waterways. Besides, you'd still have to rinse and rinse the local sand, so you really aren't saving anything. Just takes more time and more risk.
Keep in mind that you have to sift the sand about every week or so by hand or by attaching chopsticks to the end of the gravel vaccuum. This prevents toxic anaerobic pockets that poison fish.