I started out with a pack of freshwater sand. I got it at my local petshop. It was "golden" something, and was a very nice quality. After I moved up to a 20 gal, I was able to get some play sand from a friend of mine.
I had to wash it, which took a while and was annoying, but it's still very nice and Godric seems to like it. The only thing is that there's some variation in the size of the sand particles, so you have to keep an eye out for anything the axie might try and eat, especially if you've trained them to eat pellets.