Yes, this sand is a major pain to clean. Estes also makes a black sand that is a bit cheaper, and cleaner, but it can be hard to find in my area. Both look really good in a tank, and make fish colors stand out.
I use it in a few of my tanks and I love it.I don't think it's any harder to clean then any other sand and I have never had a problem with it getting in to my filters.
If you like dark substrates and don't want to spend major moolah, I recommend Art Rock's gravel. I know... gravel are not comparable to sand in size but they now sell smaller gravel that are round shaped and not sharped edged like the usual gravel that we are used to. I would say each piece of gravel is 2 - 2.5mm small. That way, you don't have to worry about the substrate getting in your filter. Each 10lb bag costs $5.99 depending on the fish store. I just got 4 bags for my 60G and I found out that I only needed 3 bags.
My LFS sells most of their stuff a bit cheaper because of its location (ghetto long beach).