I just put sand in my new coop and did quite a bit of reading here before choosing it. It seems that the most important thing is that it be washed sand. The washing gets rid of clay and silt, which can hold on to moisture and odours.
I called a local masonry place, and asked where they got their sand, and went there. There was a large selection of washed sand. I chose the "all purpose sand" because it had a nice selection of stone sizes, from fine sand to 1/4" pebbles.
It's only been two days, but, so far so good. They love dust bathing in it, it's easy to clean, and they're using it for grit.