There are three main types of sandbags available — intended for flood control, intended for photography/videography, and intended for making canopies more secure. I like the canopy style the most, as long as they have only one compartment, because that allows the sand to be moved around somewhat, making the sandbag more flexible.
Some tips and tricks:
bag material
Sandbags designed for flood control are fairly low-quality as they're likely designed for a single use, and they will almost always leak. Some videography and canopy sandbags can leak too, or at least burst a seam. So I prefer to nest them — one flood-control sandbag inside a canvas sandbag.
Canvas sandbags are rated in deniers, the higher the better.
fill material
Your local home center probably has a variety of sands and gravels. I've found their cost-per-weight ratio to be roughly the same, so pick whatever suits you the most.
Honestly, I like cat litter, since that serves a dual-purpose in case I ever run out of cat litter. Just avoid getting it wet.
Metal options:
Steel — There aresteel shot sandbags available online, though they're kind of pricey.
Lead — Lead shot / ballast should be locally available somewhere, though you might have to ask around to discover where people get larger quantities. Industries that use lead include: fishing (lead weights), shooting (reclaimed lead shot), tires (wheel balancing weights), theater techs (fly loft counterweights), and sailboats (ship ballast). Upsides: Needs less deburring, and it isn't hard to melt and refine scrap. Downsides: Often more expensive than steel.
Pot metal — TODO
places to buy them
They're almost exclusively available unfilled, since shipping sand long distances isn't economically viable. Buy your bags online, and buy your filler material locally (really, just use cat litter, wherever you might normally get it).
Amazon is a good place for most sandbags, of course.
If you want high-end sandbags, there are specialty places like SandbagStore.com.
Sandbags are used for weight training, so you may be able to find some at a local sports store.
Another possible solution is water-weight bags.
Cons — The bags themselves are much more expensive. There's always a risk of puncture. They're less stable than sandbags, so for instance it's harder to use them as a gun mount.
Pros — They consume very little space since they can be emptied. You don't have to search for a place to obtain filler material, it's always right on hand.