Water is nice if you want to move the heat - steam makes it easy to pipe it somewhere else. Also you can get extra energy out of the phase change. If you are just storing heat and using heat exchange, I think bricks or rocks would work better than sand. But it really depends what temperatures you want to use the heat.
https://www.ted.com/talks/john_o_donnell_can_a_simple_brick_be_the_next_great_battery
I was just thinking about this. Love these videos. Cooling of a solar panel is a good application, as long as it gets cold enough for long enough to re-solidify at night.
An alcohol/NaCl solution with a stabilizer can make an ice pack that freezes colder than water. That could be used to keep ice cream frozen in an ice chest.
It would be cool to have recipes for a few different temperatures. There’s a German company Qool Products that sells PCM temperature elements (ice packs), at a variety of temperatures, to store ice cream up to red wine/cellar temp in their ice chest. With some trial and error I guess we could now make our own!