I think I just used the Sculpey oven-bake clays. I tried a super light soft clay once too, but I wasn't fond of that one. It was too hard to blend pieces together (they just didn't want to stick).
I don't know if it counts, but a really long time ago, I made some pots and a snake sculpture out of clay I pulled out of the ground myself. There was an abandoned swimming pool project near my grandparent's house and if you climbed down into the hole they left behind, you could dig a little more and find a thick clay layer. I dug a bunch of it up and used that. That was a lot of fun actually. I don't have the pots anymore, but I did find the snake sculpture not long ago. It's intact except for a small break near the tip of the tail. It's rock solid, yet I believe I simply dried it in the sun. I'd totally try that again, except I don't have the equipment to dig down deep enough to reach the clay layer. Nor do I have permission to just go digging massive holes.