Pick your clay. Once you know what you are going to make, you'll be able to choose your material. Air dry doesn't even have to be fired. But it's a bit expensive, so you might want to stick to smaller creations. Fimo clay is baked in a regular oven and already comes in various colors which can be blended together. Otherwise, there's low-fire or high-fire clays, and they warrant different results.
Low-fire clays are great for bright colors and detailed decoration. But they're not super good in water, so if you do go for low-fire clay, get a glaze that you know will seal 'er up.
High-fire clays aren't so great with bright colors, but they're sturdy, waterproof, and can be texturized easily. Glazes may move when fired, so detailed images could get blurred.[1]