Here's something to get you started:

I would say the easiest clay to find (should be in any craft store) is FIMO polymer clay. You can try color Flesh Pink #43. You can create a complete figure out of this clay without mixing it with anything else. I myself use it quite often. I like mixing my clays with each other for different color or effect (translucent or opaque). Be careful using a lot of translucent clay, because it creates moonies (tiny white patches of trapped air), they are difficult to fix. But if you try FIMO just as it is, you should not have any problems, especially if you follow the instructions on the back of the packaging for baking. I also like adding Cernit clay to it, but it's not necessary.

Polymer clay is a wonderful medium, and I got hooked on it as soon as I tried to make one face. Although it was horrible, lol, I didn't give up. It's a lot of hard work but lots of fun as well! Since then I have been experimenting a lot and creating quite a variety of different characters. (Please visit my Galleries to view samples of my work.)

If you are interested in making a one of a kind figure, I recommend starting with a mermaid, because you don't need to worry about making feet and legs. Besides, it's fun painting the tail and adding lots of sparkles and glitter.

Inside of each doll there should be a wire armature, which is pretty easy to make. I use mostly 18-16 gauge aluminum wire for my dolls from 5 to 7 inches. If the doll gets bigger, I get thicker, more sturdy wire, say for 8-9 inch figure, I use 16 gauge wire, for 10-12 inch I use 14 gauge. For smaller dolls like 5-11 inches you don't need to put wire in the fingers, just need to be careful when shipping the doll. It’s a whole separate topic on shipping.

If you do not want to buy FIMO, there's another clay you can try, it's Super Sculpey. It is great to work with, only downside is it's a little too dark for pale doll face and it can produce tiny cracks. To avoid that you can add a little white FIMO to it, say 1/10 of your whole mix, not more.
Otherwise, it will become too opaque looking. Make sure you condition the clay for a few good minutes. It means squash it in your hand for 5-7 minutes, until it becomes pliable. Some people use Prosculpt clay, but it's a lot more expensive, so you can try with the cheaper clays first,
and then later you can try Prosculpt and Puppen FIMO which are very nice to work with.

To simplify the process here's what you can try, when making a 6 inch figure (Note that the process is different for larger scale figures, i.e. it might have a soft body and posable arms and legs):

1. Make the armature

2. Make the head, no neck, positioning it on a wooden chopstick, bake it (away from the armature) (5-7 minutes, completely cool it before removing from the oven, approximately 30-40 minutes. Here's the time frame, bake the head for 5-7 minutes, turn off the oven, let the head cool in the oven for 30 minutes, then open the oven door, let it cool like this for another 20-30 minutes. It's important since with the quick change of temperature clay will cool off too quickly and crack).

3. Make the torso, without feet & hands, add the head, pose your doll, bake it. (another 5-6 minutes in the oven, then cool the same way).

4. Add feet & hands. Now bake for complete time 25-30 minutes with the temperature indicated on the back of the packaging. When finished baking, let it sit in the oven for minimum 30 minutes. Then open the oven door and let cool for another 30 minutes.

If you have specific questions, do not hesitate to ask me, I will help if I can.