Walnut, soda, and black beauty (coal slag) all work fairly well but they are all one time use media. They work best in an outdoor or blast room application with a pressurized blaster.
Aluminum oxide is great for removing heavy oxidation, epoxy paint, scale, etc but will leave a rough surface. If you're going to use a heavy epoxy primer or rust bullet, etc then no problem. You can run it at 80-90psi so it's cuts quickly and will last for many uses.
Glass bead is a good all around choice. It cuts pretty well, lasts a long time, and leaves a mildly textured matte finish. This is what I keep in the blaster at work. I use 40/80 grit - It cuts rust really well and cuts through the THICK 2 part epoxy paint we use on our machinery pretty well but not as fast as aluminum oxide. I keep al ox in reserve for machine rebuilds etc when we're blasting a lot of parts. If you run 100/140 glass bead at around 60psi I think you'll be pleased with the results. It'll cut fairly quick and leave a smooth surface.
Steel shot is used more for shot peening (work hardening) materials and light rust removal. It's great within a narrow range of applications but not ideal for general purpose use.
If you want to try before you buy I've got 40/80 glass bead and 40/60 aluminum oxide at work (Leavenworth). You're welcome to come by one afternoon/evening and try them out.