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Writeacher All over the place! It depends on the type of soil in any particular area. Some especially successful areas in which to find good clay are in northern New Mexico.
http://www.pueblopottery.net/
There are many others:
http://www.google.com/search?q=clay+sources&ie=utf-8&oe=utf-8&aq=t&rls=org.mozilla:en-US:official&client=firefox-a