Some people put live rock or a little sand in, to encourage various small critters like copepods and mysis shrimp and such to flourish, but really, they will do that in a bare tub with only chaeto. Those critters will come down from the main tank and take up residence there on their own pretty easy. I personally keep my refugium bare bottom with no sand because it tend to get build up of detritus, and I like to be able to siphon that out easily.
You CAN put other kinds of algae, like caulerpa in, but if I had it to do over again I would only have chaeto in my refuge. It is a much easier to manage algae.