For me, the terms live sand and live rock have always sounded like a great way to add swarms of new and interesting unidentified animals to a tank. Unfortunately, if this is your intention, you will probably be disappointed with both types of live media because in reality, relatively few animals are included (although the number of animals on board does tend to vary from shipment to shipment). What they do contain though, is nitrifying and de-nitrifying bacteria.
Live rock and sand are usually dived for on coral reefs. The sand I have has been shipped from the Great Barrier Reef. It is also possible to obtain dead sand and rock from just about any source and over ti me, make them live. This will save money but may take a while and doesn't give any of the small creatures I mentioned above. The other drawback is that some types of rock and sand can be detrimental to you aquarium or inhabitants.