If you're sculpting small figures, in my opinion Superfine Milliput gives the best result. Others would argue Aves Apoxie Sculpt, which is a very good product also, but I find that Milliput is a bit 'finer' to work with for tiny details. There's a good 'primer' on Milliput's website which shows the process of figure sculpting, starting with a wire armature. However, there are plenty of other more detailed explanations I've seen online, but haven't bothered to keep track of, I'm sure the friendly forum goers here will point them out.
As for vehicles etc... many of us use whatever is available... foam, carved resin, Aves, greeblies from junk kits, whatever. It's a big subject, you should find plenty of inspriration here.
Good luck!