I used silica sand to do the underside, inside, engine bay, basically everything except the outer body panels. It's cheap and cuts well but you wouldn't want to use it on the body panels or you will warp them if. I've never used walnut shells or soda so I can't speak about that. I just DA'd the paint off the exterior and blasted some parts like the rear hatch(except for the lower flat section), cowl, headlight buckets and lower corners.
I use slag(blackjack) in my blast cabinet and it works very well too. Whatever you use, if you're doing the whole car expect to go through alot of media. And I would size the tip and material according to the air that you have available. The tips are going to wear and get bigger as you go so it doesn't hurt to start with like a 1/8" tip. You'll use alot less air, the only problem is they will plug up more often as a larger chunk come through the line.