According to Table A-8 in "Heat and Mass Transfer : fundamentals & applications / Yunus A. Çengel, Afshin J. Ghajar, Fourth Edition" the specific heat of "Sand" at 300 K is 800 J/kg/K, which is low compared with a lot of other materials. This also depends on the type of sand and humidity.
One figure of merit, as Paul pointed out, is heat capacity. Cost is another.
You would have to weigh up the relative benefits of these two aspects before one could make a balanced choice. You may want to look at aqueous storage materials, or even hydrocarbon waxes, if space and weight are important criteria. It all depends on the application: is this a system in a desert with acres of emptiness? Or mounted on a condominium roof in an urban setting?