This is a little bit about the clays I have experience with. The world of clay, polymer in particular, is large and complicated, and it's hard to know where to begin, so I wrote these guidelines
1: Coloured Fimo Classic
Fimo is, in my experience, one of the better brands for coloured small blocks of clay. Personally I prefer the colour and effect range of Fimo over Sculpey, but I also like the physical qualities. Fimo is, as a matter of fact, the first polymer clay I used. That was in the late 80's, and back then it was a lot harder, and a lot more crumbly. Fimo classic (as seen here) is still very crumbly, and difficult to mix, but this hardness can be beneficial for finely detailed work.
2: Transparent Coloured Fimo
This is one of those neat effects fimo does so well and sculpey tends to not bother with. I use a lot of transparent clays for things like unpainted unicorns, and to mix into skin clays in order to give them more luminosity. The transparent coloured fimo has this same brilliant luminosity, and can be added to skin tone clay and such to tint it slightly without making it opaque. I'm also planning on using it here soon for fairy wings, mermaid tails, and the like.
3: Sculpey Translucent
Whereas Fimo.T is milky white, Sculpey.T is a sort of really light skin colour. This makes it useless for something like a unicorn (provided you wanted a white unicorn) but very nice for skin tones. Sculpey, as you might know, is very very soft, ans if you're using a hard clay for skin, adding a little of this can make it easier to work with.
4: Padico Premix
This is my new found love. It is a Japanese air-drying super-lightweight stoneware clay. It is brilliantly white and can be sanded to an amazingly smooth finish. Unlike the sorts of air-dry clays you buy in the shops, The premix will not crack massively when it dries. It is very versatile, and can be painted in just about any finish. This is an example of work done in the premix: [link]
5: Super Sculpey
Good ol' super sculpey eh? It's super soft and yet has a wonderful silky feeling to it, and it almost shouts "I can do an be anything!" And it probably could if you are prepared for a good 20% of any detail you inflict upon it mysteriously vanish while it is baking, giving your sculpt a much softer look that intended. That being said it has a lovely feel to it, and it is a good strong clay, it is ready to use right out of the box with little to no conditioning (I find it TOO soft to work with on its own) I use it in combination with Sculpey firm (see
6: Fimo Classic- large bars.
You can buy these large bars of fimo classic in just about any colour, but they make a lot of different skin tones with it (flesh, dark flesh, champagne, translucent.) Fimo has a long, long history with dollmaking. I believe it was actually developed/accelerated by a dollmaker. Fimo is VERY strong, takes multiple baking very well, and (unlike super sculpey) holds detail very well. It is very firm, not oily. It's a good all-round clay for sculpting human creations, or at the very least, a good base for such a clay.
7: Fimo Puppen
All of the above, but more flawless, more translucent, and more expensive. The flawlessness may actually just be an illusion as, because it does not require so much kneading, it is not prone to attracting as much dirt or molecules of dust from hands as is Fimo Classic. It is a beautiful looking clay, looking almost like porcelain when it is done. Like other Fimos, it takes baking well, holds its detail, and is very strong. As you may be able to see here, I need to order some more xD
8: Turds
That's the name I give this very simple blend of 50% Super Sculpey and 50% Sculpey Firm. All creatures you see in my gallery that are painted are sculpted using this mix. Sculpey Firm is probably the best thing Sculpey ever made, but it is even harder than Fimo (though less crumble-prone.) It takes a long time to knead S.F to the point where it is malleable, and I believe it is designed more to be carved than it is to be molded. I carve about as much as I mold, both when the sculpt is soft and baked, so I really appreciate this quality. It also holds its detail as well as any Fimo. It is very different from Super-sculpey, which is basically its exact opposite in every way. The only logical solution was to mix the two clays into one supreme super clay. I simply put a pack of S.F and S.S into a processor and run it. It'll go to smaller pieces, then to pea-sized pieces, then after a few minutes will be warm and so start sticking together again. I then remove it and roll it into 4" long turds and store them. Then it's easy to just grab a turd and break a little bit off or use the whole thing. Turd retains detail very well, and is easily carved.
9: Cernit
Imagine, just Imagine the strongest polymer clay there is- it would wonderful to handle, would come in many flesh colours, be the choice of professional dollmakers around the world, retain detail perfectly. This fantasy medium would be so strong that it could be worked with in tiny thin slivers, the finish would be like porcelain and the translucency out of this world... and to top it off, once baked it would be still slightly flexible, protecting it against breakage.
This fantasy clay's name? Cernit.
Be prepared to spend twice the amount on this clay as other clays. Dear god if I could I'd sculpt everything from this clay, but I simply can't afford it. It is too special for us mortals.
...Oh, and the best part? I've been hearing a lot recently about something called Kato Polyclay. Rumour has it that it is better than cernit, which has been considered the best polymer clay in the world for a while.
what's great about that? It comes from Hobby Lobby.
10: Sculpey Regular
Just good ol' white. Comes in huge boxes for low low prices. I use it for white things or mix it with colours for small opaque sculptures.
11: Milliput
This was the medium I used when I started sculpting seriously. [link] and also more recently [link]
Almost all my sculptures contain some of it. Milliput is a 2-part epoxy clay. You mix equal parts and in a few hours it's like rock. The red pack is the standard, which is a sort of greenish grey, and the black pack is white, which is a nice opaque white. It is very good for repairing sculptures not destined to be re-bakes, and for adding things onto pre-existing sculptures (breyer, MLP, etc) I also use it for fixing plumbing in my hot tub, sink, and aquarium

It (or any other 2-part epoxy clay I suppose) is an essential part of my studio.
12: Black Fimo
I use this for the same thing as the white sculpey, just toning other clays I'm using for non-painted pieces. Also good for eyes and such.
13: Moldmaker clay
This is another great clay from Sculpey. You're supposed to chill it in the freezer, dust it lightly with talc and then press it onto a texture or object, bake it, and then use it as a mold. It works pretty well for this, but there are better moldmakers (2-part mixable ones) that will last longer than this. It is also very useful as a clay conditioner. It is essentially polymer clay with way too much plasticizer, similar to Sculpey Bake+Bend clay. Thus you can mix it into harder clays to make them a little easier to use. Because it has a sort of skin-like tone, it is especially useful as an additive for hard clay you're intending to use for people.
Other sculpting materials I use, Not pictured-
Plaster Cloth
These are rolls of gauze-like material that have been coated in plaster. All one needs to do is tear off piece, dip it in water, and apply it to a framework. This is especially useful for large-scale sculptures. The plaster dries in a few minutes, and can then be sanded or painted.
Amaco Sculpt-a-mold
This is some sort of mixture of paper pulp and plaster. You mix it with water and it becomes very clay-like. Again, it works best for large-scale work. It smooths on nicely over the top of plaster cloth, and can be used for detail work. It dries fast and must be kept covered.
Wax
Wax is pretty awesome. You can buy enormous amounts for very low prices (I have a 10lb block that was only $15 from eBay.) You can get it very soft, and that is best for sculpting, or hard, which is best for carving. You sculpt in wax usually with the intent of reproducing the sculpture, making casts of it. It is fun to work with, but a little redundant if you do not intend to cast it, as by its nature it is not permanent (unless prevented from being touched in a room with a lowish temperature.)[/img]