Actually it has nothing to do with being near a beach or not, most beaches (if not all), it's illegal to remove sand in any quantity. Besides, beach sand will have organisms and such that you don't want in on-set sandbags.
So ditto to what Zak said. If neither of those are near to you, nearly any construction, gardening or hardware store carry them. Bags of sand are used in concrete mixing, playgrounds, etc.