When I was a kid (in addition to a series of tree forts) we also had sand boxes. The first I barely remember, but it was basically a giant old tractor tire lying on its side and filled half-way with sand. Dad put a big plywood lid on it, probably to keep the cats out. There were spiders and bugs that used to live under the lid, and especially under the lip of the tire. After we moved to a new house (unrelated to the spiders) Dad went all out and put in a ten by twenty food sandbox with a swing set and slide.
Now, having a sandbox was super great as a kid. My brothers and I loved to run around and dig holes. In fact, we dug holes so deep that we discovered a terrible truth... The sandbox was only six inches deep. Under that there was a layer of clay and some sort of barrier to keep the weeds out. In any case it wasn't sand all the way to the center of the earth, which disappointed me.
Eventually I bought a house. It didn't come with a sandbox. The girls didn't seem to mind too much, but my boys are always over at the neighbor's house playing in their sandbox. It is also shallow, and made of plastic, and designed for standing next to instead of sitting in. The neighbor offered to give it to us when his kid is done with it, but I'd like something more substatial.
Make a sandbox that is deep enough that you can't reach the bottom.
So, first off, this isn't a "box" in the classical sense. It's more of a silo. Or, perhaps, a reinforced concrete pit.
A year or so ago we snatched up a couple of free well liners. They are about an inch and a half thick concrete, 42" diameter, and 28" deep. After nearly demolishing the neighbor's garage during their unloading, they just sat around the yard. Doing some quick estimates, I think if I filled one about 2/3 full, the sand would flow enough to fulfill my objective (that is, without emptying it, you couldn't expose any dirt at the bottom).
I chose a spot easy to see from the neighbors' back doors, so their kids could come over and play in it as well. Next it was time to get digging. I used a stake and rope to mark out a circle just the right size (Which was actually too close to perfect. More on that later.) and did a ground breaking... followed shortly by lots more sequential ground breakings.
The first six inches went really quickly, and then I hit the rocks. Shovel gave way to rake to loosen the rubble, and I even briefly convinced Leah to help shovel while I levered stones the size of my fist out of the rain packed earth. Several hours later I had 42" diameter hole 15" deep.
A friend helped me tilt the cylinder up, and then we simply tipped the concrete cylinder into the hole and packed some dirt around it... except that's not what happened at all.
As anyone who has worked with tight fitting sliding interfaces will be able to foresee, the cylinder jammed in the hole something fierce. Another hour and a half of digging, levering (during which we broke two 2x6 boards) and hammering and we finally got it mostly leveled.
At this point the kids had gotten in the spirit of the project and were enthusiastically suggesting what color sand we should get "from the sand store". The winning suggestion was blue, until I discovered that colored sand costs an order of magnitude more than normal "play sand". So we went with beige instead. Twenty-two bags, or about a half cubic yard (which also works out to a half ton).
Teddy helped me pour the sand into the pit... by which I mean that after he discovered the bags were too heavy to lift, he confidently pointed to the next bag that I should empty. He seems to be very appreciative of it so far, and hasn't even come close to reaching the bottom... so... mission accomplished!
One last finishing touch. We needed a way to keep the neighborhood cats out. At first we put a spare pallet on top of it (the same one under the sand bags in the picture above) but then I recalled that I still have an old umbrella from when I was in school. The handle broke off, which makes the stem perfect for shoving into sand!