It all depends on your budget. If you have a big budget so for a waxed surface like Martin Collins, Equestrian Direct, for my 60 x 40m I was quoted from £40,000-£50,000 just for the surface!
If not, don't go for anything made from wood and avoid shredded tyres. They smell in indoors and give horses black socks. I've gone for 5 inches of silica sand and 3 inches of Spring-Tek rubber. For my 60 x 40 it's costing £18,000.
Thanks for all the great replies so far. We're in NZ and I don't think they've heard of waxed anything yet!!! I've got some lovely horses here for sale by the way if anyone wants a cheap new performance horse.....