Depending on the requirements, I use plumber’s epoxy, MagicSculpt, Pro Create, and Super Sculpey.
Plumber’s epoxy is fairly rough stuff. It’s not easy to sculpt small details with it. Plus, it’s fairly sticky and cures in about five minutes. I use it to fill in large holes.
My primary sculpting medium is Magic Sculpt. There’s not much it can’t do, and solves a lot of problems. It can take small detail well, and can easily be sanded. I go through a lot of this stuff!
I’ll use Super Sculpey sparingly. It’s great for projects that will take a great deal of time (i.e. you can set it down and come back to it days later). My Mxyzptlk was made entirely from Super Sculpey (except the hat). If I’m in a hurry, and feel the fragile nature of Super Sculpey won’t be a risk, I’ll use Super Sculpey on a project and cure it with a hair dryer.
I’ve recently started using Pro Create. It’s more like plastic when cured, less like rock. It’s excellent for creating things like hair or thin details.