depends on what you want for the tank... play sand is pretty fine and can get kicked up a bit easier and hangs in the water column, it also compacts easily, so you need to either stir it up every once in awhile or plant it to help prevent areas from going anaerobic. personally, i think play sand looks the best tho and it is also usually the cheapest option at about $3 for a 50 lb. bag
all purpose sand usually has a bit larger grain, so it stays put a bit easier, but it is usually a lot harder to clean when you first buy it. all purpose sand usually runs about $4-5 for a 50 lb. bag.
silica sand can be purchased in many different grains so you can choose which one you like best... it is also heavier than play sand and all purpose sand so it doesn't get kicked up as easily, it also drops quickly out of the water column and doesn't need to be rinsed much when you first buy it. silica sand usually runs anywhere from $5-15 per 50 lb. depending on what type you get.
there are also the specialty "aquarium" sands that you can buy at your lfs, tahitian black moon sand is one of the most popular... these usually work great and look great as well, but you do have to pay for it, and it usually breaks down to about a buck per pound.