To add to Mig's comments. If you want vector art use EPS. EPS preserves vector data including fonts and, yes, clipping paths. If it's just raster images (Photoshop) use TIF or JPG, or whatever image format you may need for the situation.
Caveats. EPS can store raster data. So, if you have a image in an Illy file but also have type in that file you'd still want to save as EPS to preserve the type. Likewise with Photoshop, if you had an image and type you'd want to save as a Photoshop EPS with vector data preserved so that the type doesn't rasterize.
BTW, TIF is multipurpose. You can store layer data and fonts in TIF. A TIF can have an alpha channel AND a clipping path. But if you do your work in a TIF and have type in it you'd still want to save out an EPS from that to preserve the vector data. It's for these reasons I usually use TIF over PSD. They are essentially the same.
JPGs will not store layer data or font information. So, once you're done and you close the JPG, all your work will be lost.