Clay is a fantastic material to work with. It has a cool, earthy feel and is more resistant than play dough. When shaped it holds its form. The resistance of clay makes it a great outlet for stress, anxiety and anger. Use large quantities to involve more physical exertion. Handling clay also helps develop hand strength.
When you have finished with clay work it back into a block, Bang it onto a table repeatedly to get out any air bubbles that will cause it to dry up. Put a hole in it with your thumb and fill hole with water and seal over. Wrap in 2 layers of plastic and it can be re-used.
Clay is not really messy. You can wipe it off surfaces with water. You may need to wipe it a few times with clean water to get rid of it completely but it doesn't take long. When it dries it just turns to powder that can be swept or vacuumed.
Buy White Stoneware clay. It only costs around $10 for a large slab.