Play sand might be too fine. Pool filter sand is generally better. Gravel is too coarse.
No, there's usually not anything on top of the sand.
I think that gravel would be too coarse. You could use it if you really wanted, but you'd have trouble getting plants to stay rooted and it would be really easy for dirt to work its way up.
It's the other way around - fine substrates are better at holding the dirt down than coarse ones. Fine substrates are also the ones that are more likely to compact and cause anaerobic pockets.
Don't worry too much about anaerobic spots. People make it sound like they're the aquarium equivalent of a nuclear bomb, but almost all fine substrates more than an inch deep are anaerobic to some extent. It actually helps reduce nitrate (though not by much). If you have enough plants, the roots will carry oxygen into the substrate and prevent any seriously large pockets from forming.
And don't worry too much about killing all your plants and fish. Water changes covereth a multitude of mistakes. As long as your tank is cycled before you add fish, you stay on top of maintenance, and you look at your tank every day to check for problems, you'll be fine. You'll probably lose a fish or two and maybe some plants as you figure things out, but that's part of the learning curve and nothing to be ashamed of. Give it a shot, and have fun with it!