If you're going to use sand I would say use play sand from the hardware store, unless you really love the look of the stuff at the pet store. But you're going to have to wash it, and wash it, and wash it...and it will still probably cloud the water for a little bit. Also, checking for iron with a magnet is a good idea, and always test for pH changes with any material.
I've actually used sand I've collected from the wild in a fish tank successfully. I found some absolutely fantastic garnet sand (well over 50% of the grains are crushed garnet), and I treated it much like you would deal with driftwood. I boiled it like crazy before use, and I let it soak in water and tested pH/KH as well as ammonia/nitrite/nitrate. Basically anything you collect for the wild you have to be sure is both inert and sterile before use.