I would think about lining the outside with landscape timbers. It will give it more of a defined edge. That's our plan when we finally get around to building one.
You'll also want to drill some drainage holes in the bottom of the bed liner. If you don't any type of water or rain will just sit in the bottom of the sand box.
You're going to want some type of cover. We're going to get some sheets of treated wood (or find some that we can treat ourselves) and make doors. They'll fasten to the landscape timbers with hinges and there will be some sort of hook and eye closure.
We have a play sand in the small sand box that we have right now. It's really fine. I think when we get the larger one, we'll probably use regular sand though. You should be able to find either kind at a hardware store.
And yes, my kids LOVE the sandbox! Just make sure to have them shake off before coming in the house :)