Most Clefairy, both in the anime and in various Pokémon games, are found near mountains, in caves, or other more hidden/mystical-seeming places.
Clefairy was almost Pokémon's mascot, but Pikachu was chosen instead, since Clefairy seemed less likely to appeal to young boys.
Clefairy are usually described as shy and gentle; the glaring exception is in the humorous Pokémon Pocket Monsters manga, in which the main character, Red, has a boorish Clefairy nicknamed "Blockhead Clefairy." (I think it should be called "Out of Character Clefairy," myself!)
75% of purposefully-bred Clefairy in Pokémon games are female.
The wings on Clefairy's back can collect moonlight, which it uses to power up its attacks.