Yes - The best for a playground, in my opinion, is the larger pieces. Normal mulch is pretty dirty, so is the shredded tire stuff. There was a guy near me who used to show it on his website but its not there anymore. It looks like hunks of wood, no small pieces at all. We did a church playground with many hundred cubic yards of the stuff and it lasted for years.
Grass or dirt is what we had (and probably you) when I was a kid and we survived.
I have to admit that I have a special place in my heart for the small stone gravel that you find in school yards. Reminds me of my childhood. Can be very dusty though.
The problem with sand, depending on where you live, is that cats will use it as a litterbox. If there are no stray cats in the area then you're good to go, but if there are then it won't be the best place to play.