Personally, I think play sand is the best choice for aquariums. It looks good, it's dirt cheap, and it has perfect sized grains. It's not too big to where it wouldn't be good for bottom-dwellers to sift through, yet it is big enough to where you don't have to worry about it floating around and not settling or being sucked up in a syphon (unless you get the syphon way too close to it - but in that case, any sand will be sucked up).
The air pockets mentioned are very easy to get rid of. Yes, toxic gases can build up in them, but an occassional poke with a stick, skewer, or other such object will take care of it. Also, your cories will take care of the problem to by constantly turning over the sand for you. Once you get the sand and water in your tank, I would take something like a wooden skewer and poke around to break up all the air bubbles.
I'm not sure what all-purpose sand or paver sand is, but if you use it, make sure it's not meant for mixing concrete or anything like that. You want just pure sand - no additives like bonding ajents or glues or chemicals. Things like that will obviously poison your whole tank.
If you go with play sand, you can get it at Lowe's for $3 for a 50lb bag. I'm sure it's just as cheap at Home Depot.
HTH!
Oh, and to answer your question - play sand usually comes in clear plastic bags, and is the sand used in children's sand boxes. The bags are usually filthy on the shelf at the store, but once washed, it is a very light, almost white color. Looks fabulous.