If it's cheap, there are no additives - that's what you want (it costs only a little more than playsand, which you don't want as there are more silicate issues with it). All other things being equal, you want it as coarse as you can get it. #20 mesh or even a lower number than that is preferable.
(#20 means that your sand can fall through a mesh made from 20 wires per inch) - think finer than typical aquarium gravel, but coarser than regular sand - that's ideal.
Also - stay away from diatomaceous earth (a.k.a. DE, it's fine, white powdery stuff - is good for certain filters, not as a substrate, though).