If you understand the differnece between uding a JPG file and a HDR/EXR file for and HDRI, then you already understand clipping :)
"Clipping" is when the brightest part of an HDRI is "cut off", or "burnt ou".
This is usually seen on light sources, like the sun or a bright lamp, and is the result of the HDRI photographer not using a dark enough exposure to capture the light completely.
If you're an HDRI photographer and you want to learn how to avoid clipping, read this article next.How do I tell if an HDRI is clipped ?
Why does this matter
In an HDRI the brightest area is by far the most important part, since it emits the most light a 3D scene.
If the brightest area is clipped, the light it creates will be significantly darker than it should be, and disproportionate to the light the rest of the image emits.
In an extreme example, an HDRI may have been shor outside on a clear sunny day, but if the sun was not shot properly then it will be severely clipped and produce lighting that looks like a bit like a dim cloudy day instead.
Two renders using the same HDRI - Left : Intentionally clipped HDRI; Right : Originnal unclipped HDRIIn a less extreme example, the filaments of tiny ceiling lights might be clipped :
The difference here is less obvious, but take note of how the dragon in the clipped version is slightly less orange. This is because the clipped part of an HDRI ( the brightest part that emits the most light) will always be solid white without any color at all, since it's maxing out all three color channels simultaneously*. This means if the color of a light source is fairly strong (e.g. orange tungsten lamps), the color of light produced by the HDRI will be less saturated than it should be.