Lots of answers up there but I didn't see one that says leave the sand in the sandbox. Buy some good tires, and only carry a small bag of sand to put under the wheels if you get stuck.
That's fine on some vehicles but not when you own a 2 wheel drive truck (super light rearend) with a one wheel wonder rearend (might as well call it a 1 wheel drive:evil:) and a torquey V8, such as my 02 Dakota. I have real good snow/mud tires on it and it still won't get around good at all unless I have 200+ lbs. of weight in it. Throw a couple hundred lbs. in it and it's does ok. All vehicles are different because my 2wd 93 Dakota I had before got around fine with no weight added to it and if you added 200 lbs. in the bed and it would plow through snow up to the grill with ease. Crazy