Please do yourself a favor & don't buy ANY sands from the big box stores, even though it may be very inexpensive. For sure do not buy play sands (very dusty, gritty & dirty - needs to be rinsed a ton - is small-grained and low density, and will free-float into the water column, getting into filters & clogging impeller assemblies, and will get siphoned our when vacuuming).
Some of those stores will even sell you what they call pool filter sand, but it's usually not, or not good quality, so don't be fooled.
Apart from some good quality sands that you can get at some LFS's, which are usually very expensive, go only for pool filter sand bought at a pool or spa supply store. I suggest a good grade of high density PFS - e.g. # 20 grade or larger, preferably quartz-based silica sand - which will cost you around $10. for a 50# bag.
Very clean, little or no rinsing needed, easy to keep clean, will not get siphoned up easily, and will not clog filters.