Sand Dunes National Monument is a fantastic destination that will satisfy your need for sand (but not ocean), living land-locked in Colorado as many of us are.  Although it is very hot in the summer, spring and fall are great times to check out this natural wonder.

To make a long story short, sand blowing east across the plains hits the mountains at Sand Dunes, and it falls to the ground, creating some of the highest dunes in the country.   The best thing about this national monument is that there's not much damage you can do to the dunes, so they encourage you to do things that are just not allowed in other national parks and government regulated areas.  They want you to hike in every direction on the dunes, and there are no real trails to stay on.  There's no switchbacks to avoid cutting off.  You can dig in the sand as deep and as much as you want (just don't take any with you when you leave) and they encourage night hikes.

The car camping is great, with a nearby stream, grills and clear places for your tent.   You can camp out on the dunes, too, which I hear is phenomenal, although be prepared to get sand in every part of your body, and every part of your gear. The stream near the camping area is great for wading and cooling off in when it's hot, but it dries up late summer, so don't count on it in August.

You may have seen pictures of people snowboarding the dunes - that is done here, and its a lot of fun. Most people cover up the bottoms of their board with paper and duct tape before boarding to avoid damaging the petex.

Whatever you do, have fun and try to visualize an ocean!