Petco has sand that is dyed and it will wear off to some degree.
CaribSea Naturals and Instant Aquarium are natural sands.
There is sand blasting sand commonly sold at ranch stores is actually coal slag as I understand it.
There are many different kinds if you go to a sand blasting sand supplier where they can show you different sand colors and tell you what they are made from.
This is where I got mine, at least you can look at different options. Home
They ship but of course that costs extra, so you can probably just find some place nearby you.
You want to make sure you don't get a sand made with (a material which contains copper in it, which would not be good for inverts.)
Here is a pic of sand made from real Garnets