Clay is an earthen material consisting mostly of minerals.
Clay is one of the more common materials used to make ocarinas. 
Grey/gray clay is a cheap but effective clay that many ocarinas are made out of, many starting ocarina makers like to use this clay, and continue to use it as they grow. Better for glazing/coloring as it has less tint, but the color of the material really shouldn't be an issue when glazing, if done right.
Red clay is another cheap clay that is easy to mold and produces adequate sounds, this clay is used as an alternative to grey clay, and shares most of the same qualities. If you plan to make your own ocarina, but don't want to glaze/color it, this is the clay to chose as it is naturally coloured.
Purple clay is a more expensive version of grey clay, and it resonates extraordinarily well. Many ocarinas made from the material are worth 500$ and up. It is said that purple clay sounds better the more you play it because it absorbs moisture, causing it to resonate better(this is a myth as of now, though). Purple clay is also a rarer than grey and red clay, so that also plays into the higher price.