I have used:
pumice (chunky or fine)
red lava rock (chunky or fine)
black lava rock
granite grit
native rock (mixed alluvial grit)
tumbled black grit
inflated clay
construction gravel (the chunky kind used for concrete)
from various sources including nursery, pet store, hardware store. I separate the sizes of most using a bonsai filter so that the rock I use is gritty and one specific size, not a range of sizes.