Ben Grimm looks as though he is made of clay, but clay would not be terribly effective at clobbering. Is the specific type of mineral (or minerals) that comprise Ben's body ever discussed?
Actually, in the comics it's not rock at all. In his first appearance, his skin was supposed to be akin to a dinosaur's hide. Over the years, the illustrators evolved it into a more rocky looking texture to make him seem even more like a monster. But in the comics, it's just really thick skin that has cracked to make the appearance of rocks. His skin is even described as "rock-like hide", key word here being "hide". It is also pointed out in the comics that his skin can dry out, meaning that it is very likely that he has actual skin.
Now in regards to the movies, that's an entirely different question, as they strayed very far from the comics in both renditions. In the movies, I don't think they actually say what type of material he is made of, but for the most recent edition, I think it is safe to say that it is a sediment not native to Earth, as he acquired his powers in the Negative Zone. We do, however, know that his skin is some sort of rock, as he was encased in a larger boulder of the same substance. Now for the original movie, there is a good chance that we can identify some of the minerals that he is made of. However, I think it is safe to say that whatever the rock initially was, it went through some significant molecular alterations during the process of his transformation. In both cinematic versions of him, the Thing goes through way too much physical abuse and strain for his skin to consist of "just another rock". It obviously has a much higher level of density and is too indestructible to be any rock we know of.
TLDR: Traditionally, it's just really thick skin which has cracked to look like rock.