Do I need to sand my new pressure-treated deck before staining it?
Jeff's comment pretty much answers the question in its entirety:


  [Pressure-treated] wood would not need to be stained for a few years. A cedar or redwood deck would also not need to be stained. Any other wood species and you would need to stain it. As far as sanding, I would only sand it if it is extremely rough. You might not want a totally smooth surface, once stained it could make it awful slippery when wet. 


A note on this in addition to: presuming you mean pressure treated like Jeff says, you actually do NOT WANT and SHOULD NOT stain it. At least for a gooooooood long time.

New wood needs time to dry. The wood comes from a factory still dripping wet. Staining it would be a waste and nearly useless. As the wood dries the fibers will begin to show and the grain will present. Right now, if it is recently built, it is going to be wet. The grain will be wet too. Sanding it wont be valuable and will cost time and money.

Now, if the boards are surface dry and are splintered or rougher than you like, feel free to sand it. Follow guides for the grit to use on a floor (eg, 110). But even after this, do yourself a favor and dont stain it.