Yeah, there are lots of different clays. Some clays are so hard/aggressive, they can put some light scratches into the clearcoat.
Fine (soft) clay is typically used for people who like to clay their vehicles more often and/or do not get much embedded contamination simply based on how and where they drive. Some fine-grade clays are so soft that they won't even strip your wax.
Use a medium-grade clay bar if you clay once a year or so. I believe the Meguiar's Smooth Surface Clay Kit is around a light-medium clay bar that will get the job done for most vehicles.
Personally, I clay my vehicle once every 12,000 miles or so using soft clay. I prefer soft clay because for whatever reason, I am lucky and get very little contamination and the soft clay takes care of all of it. I have no preferred brand, I've used Zaino Clay, Meguiar's Smooth Surface Clay Kit, Meguiar's Detailer's Mild Clay, Sonus Soft Clay, and maybe some others I cannot think of right now and I've never had a real preference.