Clay Ball

Clay is the item received after mining clay blocks. Each clay block yields four clay. Clay blocks are found in shallow water.

As a Crafting Ingredient
Clay can be crafted together to reform clay blocks or baked in a Furnace to create clay bricks. Clay bricks can then be crafted into brick blocks. As of now, a very abundant source of clay depositions are inside water sources in a Swamp biome.

Trivia

 * Pre-1.8, clay was a rare luxury material. The 1.8 update changed the rate of distribution, making it very common. Brick blocks are now a common building material.