A clay bar is basically a piece of clay, that rub along the car's bodywork and is designed to remove all contaminates. Gets all sorts off, tar etc. and leaves an exceptionally smooth finish, similar to polish but really flats the paint back to its originally condition! You have to spray like a lubricant on to make it easy to rub the clay along the paintwork.
I personally have a Meguiars one and really like it and would recommend. However I bet the Autoglym one is just as good. There may be more out there but never had any other experiences.
The idea aswell is to keep turning the piece of clay aswell, trying to keep it as clean as possible if it starts getting mucky
Hope this helps...sure a few others can expand on this a little more.