I certainly agree with everybody that sand is preferable to concrete. Just a word of caution, though, when beginning to run on sand.
The difference between sand and ‘normal’ surfaces is significant and requires a lot more stabilization. If somebody has never run on sand before, he/she should start with short runs and gradually build the distance. Doing too much too soon can lead to injury which may make any running all but impossible for a while.
Sand is by far better! Concrete is one of the hardest surfaces for anyone to run on.
Like someone said earlier, sand gives a bit more of instability which in turn works more muscles = more work, but definitely a greater benefit.
It is also a great way to train for an upcoming race so when you do switch to a normal surface, your muscles will be well prepared.