You can buy stevia in most health food stores - I believe that it is a root that has sweetening properties.
YOu can buy splenda in any grocery store, either loose or in small packages (which I prefer). If I understand correctly, it is a naturally derived substitute, which comes from sugar. It has been recommended by Health Magazine which is published in the US. It has no chemicals so it is not thought to be harmful in any way.
In my experience, splenda does not change consistency or flavour when heated (as in cooking or baking), which is a real bonus. IT also does not leave any after taste that I have been able to detect.
It is the substitute that I prefer, for sure.