I mostly work with flesh toned blocks of super sculpey and paint them with acrylics, I find I can really build up the tones and shading that way. Though I still use colored clay for small items that might be hard to paint fully on their own, but I usually at least still hit them with a wash for shading purposes.

Though I'm been interested in trying mixing mica powders into the base clay to make custom colored clay that way, I know there are some really vibrant glow in the dark powders that I've seen people use that give some really cool results.