Assuming that you are not among the fortunate ones whose Home Depot stocks Southdown Tropical Play Sand, you can by it at a higher price at most LFSs or order online.
<a href="http://www.purearagonite.com" target="_blank">www.purearagonite.com</a>
This site I listed seems to have good stuff and prices, but depending upon how much you buy and where you live, the shipping can be significant. I have heard that when you buy 200 lbs or more the shipping costs are greatly reduced because of UPS (or whatever shipper they use) price breaks. I bought Carib-Sea brand Sugar Size Aragamax at my LFS. It was expensive, but I did not pay additional shipping costs. The key to choosing the sand is getting something that is clean (no contamination or polution) and fine enough in size. Don't use crushed coral or anything big. Good luck.