Sand in the run but not in the coop. I would think sand would be really messy and damp in the coop.
I did a TON of research online including this forum of the "old timers" who all nearly 100% recommended shavings in the coop and sand in the run. We have a truck and loaded sand in by the ton. After two trips our run was complete and I am extremely happy with the results.
If you have a small enough coop, I would recommend building a poop board to sit under their roost(s). I put a thin layer of shavings on the board and deep litter the floor of my coop. I dump the poop board contents onto my compost pile about once every month and replenish the shavings (sprinkled with a touch of Diatomaceous Earth for absorption and odor). There is almost no poop in my entire coop floor with this method. When I dump the poop board I take my rake and fluff the coop floor shavings. It takes me about 10-15 minutes total for the entire thing.
I also go out and rake the sand to pick up the big pieces (not much) and "fluff" the sand to help with breakdown. The sand dries very quickly after it rains (although I also have a roof over my run) along the edges, the chickens love to scratch and dust bathe in it, and it provides them grit. We bought "playground" type sand. Not too fine- you don't want sugar sand which is way too fine and clumps. I read some places to dig down and put larger stones on the bottom then cover with sand for drainage, however I would think that would be a pain in the ***. Eventually the bigger rocks work their way up to the top and then it would be frustrating to rake through that.
Here's a write up on my coop:
http://www.theindependentant.blogspot.com/2012/08/clucking-aroundchicken-update.html
click on side links for earlier updates. I didn't write up the sand yet.