For the big artillery rounds I use wood pellets made for a pellet stove. Spray painted black, they look realistic and have close to the same volume. There are also several types of animal food (dog, rabbit, horse, etc) that come in pellet form.
For the intermediate artillery rounds I have found something that looks great. Each spring I clean my rain gutters and they always have the small grains of material that wash down from my asphalt shingles each winter. It's black or gray colored. I wash it in a bucket of water, pouring off the fine dirt, and winnowing the grains. Looks great, but it could be mistaken for real gunpowder, if the local gendarmes frown on that sort of thing.
Ray