CLAYS: Epoxy putty (or plumber's putty).  I use Oatey's brand epoxy for the majority of my sculpts.  It has a really quick dryin time (10-15 min)  but that fits  my general lack of patience perfectly. You can find this at yer local Home Depot in the plumbing section. I used to use LDR brand epoxy, which I liked coz it was alot less sticky, but I found out after 6 mos or so it generates a thin yellow film on the hardened epoxy.  I also use Super Sculpey when sculptin faces coz I generally take more time with those. I make sure that the piece of super sculpey is separate and not attached to a figure, I've had too many mishaps with meltin figures in the oven.  For a more comprehensive comparison of sculpting clays, check out Arkenyon's list.

SCULPTING TOOLS:  various X-acto edges, bent cleanup pick, cone shaped clay shaper.

SANDING:  Various grit of sandpaper, also a med/fine sanding sponge. Plus my battery powered Dremel. When dealin with superarticulated figs, I use the smallest sander I have on my dremel then sand the joints to get rid of any possible paint rub.  Then I work em over quickly with a sanding sponge to get rid of any dremel scarring.  Paint won't rub off if they aint got nothin to rub against..  

GLUE:  I like to use Krazy glue coz they spell crazy with a K.  That's wacky.   Aside from adhesion, I also use it to coat any nicks and dents on a sculpt I may have missed, creating a a smooth layer over them, and also on rough areas that are too small for sandpaper.

PRIMER: Priming is the last chance I get to get rid of any bumps and imperfections I mighta missed beforehand in a sculpt so I really like this stage.  Plus it looks cool when a fig's all grey.   Krylon Sandable Grey Primer is relatively quick dryin and because it's sandable, it doesn't leave a rugged layer of primer when you sand it. If I'm paintin bright colors, I do what Casimir and Iron Cow do and spray paint a coat of Krylon white over the primer.  Coz paintin yellow over dark colors suck.   

PAINT:  Mostly Citadel or Warhammer paints. For spray paints I use Krylon stuff, coz they dry relatively quick. Then seal figs with Testors Dull Cote to get rid of unwanted sheen. I also use an Aztek airbrush with an interchangeable fine line nozzle sometimes for shading.

Remember these are just the stuff I've grown comfortable usin and doin, experiment and find out which tools and methods work best for ye.  Above all have fun.