If you get it from a concrete or asphalt company, ask for blow sand as it compacts really well, its what they use in the mix for concrete and its relatively cheep. Usually if you get enough of it you don't have to pay for delivery. There are other substrates you can use, all of which I cannot think of right now off the top of my head. Granite dust comes to mind, and I think Carl (one of the mods) uses something different that packs down really well. I put down 3 inches of gravel and 3 inches of sand, packing each level with a plate compactor. I expect that over time the sand will filtrate down into the gravel and then I'll add more sand.