I've used clay bar for a few years now on about 4 or 5 different vehicles. It works, and it makes the finish feel baby-butt smooth. I even do my glass, because some stuff can stick to that too.
As an example to what it can do for you, I just sold my 2000 Chevy Cavalier Z24 for an amount slightly over blue book. I did the clay bar and I detailed the inside too, of course. I think it helped sell the car without a doubt, and for the great price.
My mom once took her 2000 Bonneville to get an exterior detail, and the paint still felt like it had stuff on it. Just a wash and wax, but they didn't clean the paint. Anybody can do that for 75 bucks. She got ripped off big time.