Try this:
Go to Lowe's or Home Depot.
Go to the grills/BBQ area.
Should be some cheap bags of lava rock there. Make sure it's the lava rock, not the ceramic stuff.
Take it home.
Grab a hammer and go outside.
Smash the bejesus out of it until it becomes pebbles. (Remember that if it gets too small it will impede the flow - you don't want that!)
Makes excellent, extremely cheap biological filter media. My Filstar is loaded with the stuff.