You realize pretty quickly that in order to make a sculpture of any degree of complexity or size with clay, you'll need something inside to support it. The first armature I tried is hanger wire. It was horrible. Its not that strong and as soon as you bend it, it damages it and with a few more bends, it just breaks.
When you start getting serious about sculpting you realize you need something better and the answer is aluminum wire. Aluminum is easy to bend, but with the appropriate gauge it must be bent deliberately, meaning it will support the weight of the clay without bending on its own. Best of all you can bend it over and over again and it won't break. Its easy to find on Amazon.com. Just search for armature wire. However, if you want to save some cash and are serious about it, you can buy it in spools for much lower price per foot. Picking the appropriate gauge for the size of sculpture is a tiny bit of a learning curve, but as long as the wire fits inside the sculpture, that's half the battle. In order to get clay to grip the wire, I wrap it in a smaller gauge wire.