Bullets do expand in clay, but expansion is exaggerated. A temporary cavity with a shape consistent with reality is formed, but the dimensions are greatly exaggerated. The permanent cavity's depth of penetration is greatly under-exaggerated. In fact, due to the fact that clay is not elastic, the effects of the temporary cavity are easy to see and photograph, but that is about all that's useful about clay as a test medium. Summary, clay grossly over-exaggerates the effectiveness of a bullet, and should be avoided.
Some people use newsprint, others prefer telephone books.
Some newsprint has a texture, consistency, and ability to absorb water that varies greatly from other newsprint. The same is true for telephone books. However, when the water to paper ratio is high, wetpacks can produce quite acceptable results. If you are trying to determine whether or not a bullet will expand, and to roughly what depth it will penetrate, then wetpacks make a suitable test medium. Water Water has the advantage of having none of the inconsistencies found in clay and paper.