There's a video floating around of a guy playing in the sand with his '02 or '03 Subaru Impreza WRX at Glamis dunes, having a fun time.
The AWD and all season tires seem to have no problems in the sand, and he cruises right up the big dune above the staging area, surprising a bunch of guys on motorcycles, ATV's and sand rails.
I have an '03 Impreza WRX myself as a daily driver, and wouldn't use it to play in the sand. Though it sure looks like fun.
'03 Subaru Impreza WRX
'03 Jeep Wrangler Rubicon