Petco sells black sand that's pretty good. But expensive as well - like $17 for a 20lb bag.
Some people use Black Diamond blasting sand...but that can be sharp and/or have unknown things in it, so do that at your own risk. If it's for fish digging, it's probably OK. For sand sifters like geophagus or some of the Tanganyikans, I'd avoid it.
I prefer pool filter sand - still cheap, at $8 or so for 50 lbs, from say Leslie's or another pool supply store. But also heavy enough to mostly stay on the bottom and usually clean enough I can throw it right in the tank with minimal rinsing. Compared to play sand that takes potentially hours of rinsing to get the cloudiness out.