I've done the glass marbles, gravel, and I attempted sand. I hate sand. I never could get it to rinse well enough, it was a pain to take out of the tank, and it killed my filter. Now, other people do sand and it works great...so I'm probably just doing something wrong, but I will NOT attempt it again. ;)
Sand does look lovely though...
Marbles are good, they're fairly easy to clean, but a bit harder, and some gunk can get stuck down underneath and is harder to clean out.
I prefer gravel overall. I have some nice white gravel (no color), and it's worked really well, no color chipping and it sets off the tank nicely. Also, I've heard that gravel gives better surface area for the BB to cling to if you're going to cycle.
That's my two cents, and good luck to you whatever your decision!