Mike,
It depends on what type of fence your putting in. If it's a privacy fence where it will catch a lot of wind, then you'll want to use concrete to glue the post in the ground.
If your putting up line post for for a cattle fence, then it's just what mother nature offers, because the cost of transporting material to backfill a couple miles of fence would be astronomical.
If your putting in a decorative fence such as a picket and you are in a wet area, then pea pebble would be a good fill. Remember, if you dig a hole and it fills with water, it doesn't matter what you use for fill, as it will be submerged in water also.
When setting any post in sand or gravely material I've found success in shoveling in a few inches of fill then using the shovel handle to pack it, then keep repeating the process untill the hole is full.
I remember back a few years, I was building a deck downstate and the local building officials would not let us use concrete for any of the deck posts. Their contention was that the concrete reacted with the chemicals used in treated posts (copper and chromium) causing premature failure of the posts. I don't know whether I buy that or not, but..."When in Rome...." We ended up digging the holes 4' deep, putting in a foot of pea pebble, packed the pebble and then set the post using the pebble as fill. Worked all right, the deck is still standing. I believe when you immerse a pole in concrete your not giving water a path to drain, so it sits around the pole for a long term and will eventually rot it whether it's treated or not. What I prefer, is to dig the hole, dump in a bag of ready mix concrete, stick in a garden hose and fill the hole with water, clean up the mess, go have a beer and watch your favorite broadcast,/w3tcompact/icons/smile.gif come back the next day and set the post and backfill with sand. The concrete serves as a footer and the sand as a stabilizer. This may be getting off the subject as far as fence posts are concerned, but I hope it helps.
