In my area, Anti-Skid is pretty popular for roundpen and arena footing. It's actually the stuff that the DOT sprinkles on the road in the winter. It looks like a really fine gravel, maybe one step up from sand in fineness, if that makes sense. Anti-Skid is pretty cheap, the cost comes from the delivery. It drains well, but a lot of drainage depends on the location of your roundpen.
Whatever you settle on, I would caution you on getting it too thick. There's a fine line between helpful support and swimming horses. I've seen several arenas/roundpens with different kinds of footing applied so thickly that horses refused to canter because their feet got "sucked under." It can improve over time (One arena is several years old and the horses still swim, better than it was, but still not quite right), but I'd say get a layer in and test it for a couple of weeks. You can always add more later.