All the above have their merits, I personally like wheat hulls or rice hulls depending on what is cheapest when I need to add them. They both degrade nicely and add to the soil as they decompose.
Peat moss retains water as opposed to helping drainage.
Sand is also a good choice to help for drainage purposes, but perlite has tiny pores that helps hold nutrients. If you aren't going to use it (mind telling why? It works wonders in soil) then at least use the expanded clay or something that will give you other benefits.