Clay Bar is used to remove contaminants on your paint. These contaminants (grease, old wax. rail dust, brake dust, etc) give a 'gritty' texture on your paint. Eventually this will lead to rust spots, etc.
I used to apply Zaino Z-18 clay bar but it's only available on line. Remember, if you dropped the clay bar to the ground, it useless. Never use a dirty clay bar as it will cause scratches on your car. Clay Bar kits are also available from Mothers and Meguiar's. All of them worked for me.
You have to wash your car with Dawn (degreaser) and rinse thoroughly. Then apply clay bar and 'lubricant' that goes with the kit. Wash the car again. this time with a regular car wash (no more Dawn). Rinse the car thoroughly and wipe dry. Apply your favorite car wax/polish and you can feel a much smoother paint texture after polishing it. I used Zaino products (except their leather conditioner) for external detailing every 6 months and spray detailer in between. For leather seats, I used Leatherique cleaner and conditioner though Lexol is also very good.
Here is a YouTube posting about clay bar application:
http://www.youtube.com/watch?v=yfEfLGL59GI