Most rocks are fine, but it depends if you want to alter the pH of the water or not. None soluabable (sp?) rock (the ones mostly stored in lfs) will not bubble if scratched and have sulphuric acid dribbled into the scratch. If the rock you buy does, think twice before using it. Also avoid rocks with streaks of rust, as these also leach into the water. You can always take the stones back to the garden center as "you did not need it!"
Any stones you do buy need to be completley cleaned.
I dishwasher them on highest setting (no tabs) , and then bake in the oven for a couple of hours, on the highest setting.
Of course, you could go for a day out to the seaside/countryside and bring one back home...no that I'd condone it!
I've bought a sack of rocks from a garden centre, checked for alkalinity, cleaned them then boiled them. Bear in mind you only have to heat them to around 70degC to kill bacteria, if you heat them in an oven too hot they may explode.
I've just bought 52kg of Angel rock (rounded boulders, worked out at roughly 10 of them) for £23 from a local stone merchant - the same rock would of cost me about £5 each from B&Q.