I'd say either water(get a water bag though) or sand(anything involving sand).
If it's hard it'll toughen up your wrists and knuckles(or anything else you use on it)...
Also, whatever you do, don't get a bag stand. Just hang the bag off of the ceiling. Almost every time I've injured myself, it's because of the bag stand and not the actual bag. If you kicked it from the front you could easily knock yourself over(I do it from the side though)...
And make sure you have plenty of room on all sides, especially if you intend to kick the bag...
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