Meguiars and BlueMagic make clay bars, same thing different color. The clay I hear even comes from the same place. The liquid they come with is just soapy water.
The purpose of the clay is to clean the surface, removing wax, dirt, anything *****ded, etc. It will not make a car shiny. It cleans and removes scratches because it removes anything in the scratch and anything loose around it. Works well on glass. It actually reveals the true surface of whatever you clean with it. If swirls are in wax, it will remove them, if it is in the paint and hidden by wax, it will reveal them.
This leaves you a clean fresh surface to start polishing and waxing.
With that said, claying your car is great, really can help bring the paint back to life. As for waxes and such, I love the Meguiars line in the beige bottles. I have had great luck with it. If your car is oxidized, try Meguiars Deep Crystal. Then polish and wax.
As for expensive polishes and wax...
Does your car sit out at work or home? Do you daily drive it? If so, why would you spend tons of money on a wax that will make it look incredible for a day or 2. Invest in wax that will protect, look good for a long time, and is cheap. Zymol and Meguiars work well; my only complaint with Zymol is it is easy to get streaks. There is no point in $30 much less $100 wax on a car you drive daily, and is not worth $100,000 dollars.
Seriously, if you do things right, in a weekend, you can have a killer looking car that is easy to maintain for about $50, this includes, brushes, polish, wax, rags, basically everything. Most of which is not a consumable. These will give you a great shine, better than most cars on the road.