I use a stack of 4' log lengths stacked up just like an over-sized woodpile. We had a lot of junk logs after clearing the land for the house, so it seemed like a good way to get rid of some. But, I also live in a hilly enough area that I don't have to worry much about how far my bullets are going to go, and I mostly shoot steel targets which stop the bullets on their own.
Sand does work about the best though, and as an added bonus if you shoot into sand any kids that are around can have fun digging through the pile for the bullets.
si vis pacem para bellum