Use LEGO. He he
Basically, a brickfilm should be LEGO pieces. Having other pieces (brickarms, and the rest) messes up the consistency of a completely LEGO world, and everything else is out of place.
Seeing stuff like clay, markers, or other things on LEGO just makes me feel sick. Also, when people use clay for stuff, it looks like clay, it doesn't look like blood, it doesn't look like water or what ever you're trying to make, it just looks like some clay on the LEGO, and it's gross.

Also, cutting or modifying pieces bothers me as well, I hate seeing LEGO ruined. 
So, yeah, I'm a purest for the most part, but I have exceptions:
I actually think decals are okay as long as they are done absolutely perfectly, not some marker poorly scribbled on a clone, but decals that look just like something LEGO would do, something professional level. This, however, is very rare. If you can't so something well, don't do it at all.
I'm also okay with using sticky substance (I like to use kneed-able erasers) but it should be used to hold stuff up at odd angles, never to be seen by the camera, and when you're done, make sure you clean it off well, I hate seeing sets and minifigures covered with random blobs of gunk. But when used well, they really are helpful for film making, I found them extremely great for making How to Not Rob a Bank.