Magic Sculpt
I cannot take credit for discovering this wonderful stuff. At Artfest one year I was priviliged enough to take a class from the gifted, gothic artist Elizabeth McGrath, and this is what she uses for her creepy critters sculptures. I have tried many different clay types, and what makes this stuff so cool is that it dries very quickly and extremely hard. You use water to smooth the surface, and it comes in grey and white. This is a lot of fun to use but you reach a point within about 2 hours where you cannot sculpt it anymore, so you kind of have to sculpt without fear and just go for it before your material hardens. It is easy to paint, and  you can sand it, drill it, or even carve it once it is dry and it won't crack up. I use Magic Sculp for sculpting all of my dolls, and it is available at several locations on the web. Awesome!! Thanks Liz!
Click here for a link to the Magi Sculp home page to see what people are making from this stuff and where you can find it.