(In the UK) I imported some clay chips and some decent plastic ones - to sell on my site... the plastic ones are 11.5g and have a metal insert to give them a better sound. The clay ones are 13.5g... the clay ones have proved to be more likely to have manufacturing defects, and I've yet to see anybody who could easily tell the difference without directly comparing them... the clay ones are also more likely to shed a little coloured dust (so your white chips end up with a wipe-off but annoying pinky colouring when you handle red chips as well, etc). They're also more fragile (the plastic ones are all but bullet-proof - you'll blunt a craft knife quickly trying to cut them). The clay chips do have a slightly smoother feel, and a slightly nicer sound, but speaking as a seller, I don't think they're remotely worth the extra money, because 95%+ won't be able to tell the difference, and you do have to treat them more carefully, etc. If you want chips that you can play in a home game, and could pretty much put in the dishwasher if you got them really sticky, then the unnumbered 11.5g plastic chips are the ones to go for.
Just go for at least 11.5g chips, because the lighter chips (8g and 4g) feel and sound rather different, and they are easily distinguishable from higher-quality chips. Many of the 8g chips also have printed-on designs, rather than having the design as part of the chip, which reduces their durability.
Unnumbered ones are better for poker than numbered ones, because the values you tend to get for numbering is generally rather far apart, and more suitable for casino-type games like roulette
rather than poker. I've generally found values like 1,2,5,10,20 to be better than larger spacings, otherwise you quickly find yourself all but ignoring half your chips (particularly in No Limit), which rather wastes buying a set with a nice selection of colours.
You should be able to get a set in a case for about the same price as you'd get the chips individually, because sellers do put a markup for smaller quantities of chips, so 6 50-chip rolls will then be about the same as a 300-chip set (or more expensive, often). A bricks and mortar store may charge more for a set when they sell the rolls individually, but if you look at the likes of eBay then you'll be hard-pushed to find a deal where the rolls work out cheaper... because the cost to purchase sets wholesale from China isn't much different to the cost of buying just the same number of chips.
The other decision to make is what size of set to get - 300 chips will be good for 4-5 people, perhaps 6... if you want 7-8 people you'll want a 500 chip set at least, and it's not hard to get 600, 750 or 1000 chip sets if you want a larger game... in some ways, though, it's probably worth starting with a smaller set and picking up a second set if you need more chips, because by the time you get to 1000 clay chips you've got a case weighing 16kg, which many people find a bit heavy for comfort, and 2 500-chip sets would be more practical (one in each hand, or give one to a friend to carry).