I've never heard of black sand at home depot, but I've found the white Southdown playsand that reefers always rave about in Home Depots in Philadelphia. As for the natural gravel, I've seen that in HDs all over the northeast (PA, RI and MA).
As far as which is best for bottom dwellers, I don't think it's really too important. I personally like sand better. Food sits on the surface instead of getting lost beneath the gravel. My loaches and catfish also seem to have an easier time rooting around in the sand. The one thing you have to watch out for is that the sand grains are smooth and rounded. I've heard of loaches damaging their barbles on sharp sand grains. I'm not positive, but I seem to recall hearing that tahitian moon sand has pretty sharp grains.
HTH