My kids love the messy (and I do stress messy) fun of moon sand! I prefer it to playdoh, only because playdoh has a tendency to get stuck in my carpet and need cutting out.
You will need to let your children play outside and/or in a sandbox type thing with this stuff, because it is basically damp sand. It never dries out, but may stick to little hands and bodies, and will get all over the place if you allow them to just play with it on the kitchen table.
Now, I'm the kind of person who actually enjoys kid messes, so this isn't an issue for me at all. But, it has been an issue for my friends, with their children, and they elected to make this an outside only, in a little sandbox toy.
Me? I just put a tarp down in the kitchen, so that the sand stays without cat hair in it, and let the kids go to town, and then give them a shower afterwards, so that they aren't trapsing it all over the house.
The mega bucket is the BEST deal I've found for the stuff. It contains three colors, red, white, and blue, 2.5 lb. bags of each color, in a big blue bucket. It also has a little mini sandbox thing, but that's really fairly useless. We only got the 'kit' for the sheer amount of moon sand it came with, for such an incredible price. For the sand toys and molds, we bought other, smaller kits.