Your house cat is a descendant of the African Desert cat (which tells us a LOT about why kitty behaves the way he does.) Your cat carries a huge amount of DNA similarities to its ancestor, and thus has a lot of the same preferences. Desert cats eliminated in the desert - sand - and hence our house cats prefer the texture of sand. NOT pellets!
Much like covered boxes, there are a lot of litter products out there designed for people, and not cats. Clumping is wonderful! However, some of the name brand clumping litters carry chemicals, etc. for odor control and clumping technology. How many times has your cat come out of the litter box with litter clumped between its toes and then tries to chew it out while grooming? When those chemicals are ingested it can cause illness, and maybe even death.
My overall pick for cat litter is sWheat Scoop - it has a rough sand texture, clumps as good or better than any other product out there, is completely biodegradable, not harmful if ingested, and uses the Noble Ion® odor control. Yes, it's more expensive than clay or other major brands, but trust me, it's worth it!
If you can't afford it - you can always use potting soil or regular sand - and replace more frequently...we'll get to cleaning next....