I've used the "Aragalive" and dry sand from the pet store as well as Premium Aquatics Live Sand.
Dry sand needs to be rinsed several times to get rid of the dust, and even then it will be cloudy for awhile in your tank.
Aragalive, so I've heard isn't really alive, which isn't a big deal since your Live Rock will liven it up eventually. I like this since it's bagged in water, so not as cloudy. Also it comes in a few different colors/types.
Premium Aquatics was ok, however what I didn't like was there was a lot of broken shell pieces and bits of rock etc in it. It's supposed to be fully cured and alive (the type I bought) while I believe that to be true, I prefer my sand mostly the same size, I guess I'm picky

Hope that helps