A bag filled with sand. No, really. There are three basic types/uses.
1) Used in a "hemp house" as counterweight for a flying system. Made of heavy canvas. Like any overhead rigging hardware, these should be purchased from a reputable manufacturer. Rosco offers seven varieties ranging from ten to two-hundred pounds.
2) Used to hold anything down. Often on the bottom of a lighting boom base or scenery jack. Often made in saddle bag style and sometimes called "shot bags" when filled with lead shot rather than sand. Made of canvas or duck. Feathers not included. Quack.
Dead Baby Seal: Cheap, quick, and easy way to make a sandbag using a tire inner tube filled with sand. Not for overhead or Fly System use!
3) Used to keep flood waters from invading. These are made of a synthetic burlap material and leak sand, and have no place in the theatre, unless flooding is imminent.