Yeah...clipping is like overdriving the amp. You're calling on it to work harder than it was designed to. Not necessarily the amps fault...you may have inefficient, difficult to drive speakers (can anyone say Magnepan?)
Most people say that too little power will cause more damage to your speakers than too much, because clipping causes distortion, and that is death to speakers.
I think headroom is the ability to "rise to the occasion". If you're watching a movie at,say, reference level, and an explosion or dynamic sound is on the soundtrack then headroom would be the ability for that amp (or receiver) to effectively reproduce that level without clipping.