I've got play sand in one of my tanks, I like it a lot. I didn't wash it at all before using it - it was damp in the bag, and I just laid it in the tank. The water was cloudy for three days, then cleared and has been crystal clear ever since.
Pool filter sand has larger grains and many people seem to prefer that over play sand - I would prefer to use a larger grained sand but it wasn't available at my HD (they're constantly out of things, it puzzles me). The play sand seems to be working out so far.
One key thing with sand is to stir it up regularly to prevent the sand from stagnating - in anaerobic conditions sometimes dangerous gasses build up. I use a chopstick to stir the gravel weekly when I do water changes.