I think it depends on what you want your sand to look like... Pool filter sand is cheap and clean, but it is very white, usually. Some people don't like the super light colored sand.
Play sand/silica sand is also dirt cheap (considering it's pretty much dirt, go figure), but it requires a whole lot of rinsing. It can sometimes be very light in color, but most often, it is brown. A lot of people find this brown color ugly, but it does look very natural.
Tahitian moon sand is very beutiful black sand, but it is quite expensive and can sometimes be sharp. It's also a lot lighter than the other sands, and the grains have more of a flattened flack shape. They can float around in the water column if it gets stirred up, which can wreak havoc with your filter if it gets sucked in. I suggest having a sponge over your inlet in any tank with sand. A lot of people really like the look of the black sand, but some people think it's just too dark. Remember many fish will change color slightly to better blend in with their surroundings, so the lighter your substrate, the more washed out a fish will look, and the darker the substrate, the darker the fish will look.
If you don't like the look of bright white, mud brown, or solid black sand, by all means go ahead and mix your own blend to get the kind of substrate you want. This is an especially good use for the tahitian moon sand, as one 20 lb. bag (which costs around $20), will go a long way when mixed. If you've got African cichlids, you can even mix sand with aragonite to help buffer your water.