I like to use Kato clay, though Preemo is really nice, also. I'm familiar with regular Sculpey but find it way too soft. The Kato black is very hard and crumbly at first, but I add a bit of translucent to work it. I have never tried Cernit or any of the other clays except Fimo Soft, which is ok, but I like the Kato better.
One of the things I don't like about the softer clays is the fingerprints, but more than that, when the slightest touch changes the shape.
I only dabble in polymer clay, so I don't have the experience, but I would love to know how others deal with the softness - like drag when you cut a millifori log, etc. I cannot cut one without scrunching the whole thing.