I've always thought sand would be incredibly fun to ride on, but I just know my bike would suffer the consequences later. I mean, those poor, poor bearings! Definitely something I'd like to do on a rental or something, though. Last time I was at the dunes in Florence, OR they had two-stroke bikes you could take out. I just couldn't bring myself to put one of mine through sand, simply because I know that no matter how well I washed it off, there'd be some spots that just get chewed to the balls through the years. Not to mention the saltwater and corrosion.
But, unless you're a classic bike guy like me and don't have any interest in having it last from high school 'till retiring age, then by all means go out and rip!