I also highly recommend super sculpey for conceptual sculpting seeing how it is uber forgiving, maleable, bakes well, and even looks cool.
If your looking for something more of in the way of just a quick sculpt that you dont care about too much then oil based clay is the way to go, so a roma plastalina.
buy coil wire both thick and thin, so you can have proportional joints/limbs and have the thin wire to help tie the big pieces together, and always have aluminum foil to fatten up the mass areas.
not sure if this has been posted, but check all of the tutorials from Peter Konig on conceptart.org, he’s the man to copy with sculpey
http://www.conceptart.org/forums/showthread.php?t=18287