OK, I have this jpeg that I brought into PS. Picture a white square with a red ball in the center. Now you want to get rid of the white background and make it transparent. Simple, right? You delete the white, save and that should be it. When I then bring the art into Illustrator on a colored page, the white is still there. If I place the psd file its not....jpeg it is. I've done this a zillion times! What happened?*
If you are doing this in Illustrator what you want to is save it either as a layered psd file, that is with a transparent background or a layered tiff with a transparent background the only reason you would use a clipping path is if you were going to alter the path at some point in which case you can simply make a clipping mask in Illustrator regardless of what the original format is and whether it is linked or not.
You can use a jpeg but I do not recommend it exceptt for our put and you are going to lose the transparent background if this is intended for the web so you will have to output it as a png for best results.
I reccommend als if you out put it as Save for the Web and Device that you take the AI file and open it as a smart object in Photoshop and then out put it from Photoshops Save for the Web and Device as Phpotoshop usualy does a better job of this and so does Fireworks.
At the time of the earlier posts Indesign CS 6 may not have had this export option but when exporting file as a PNG one choice is for a transparent background. That takes care of it.
As well-noted before, jpegs don't support/allow for tranparency so don't export them as such. If you need a jpeg you can always save the file as a JPEG after you are done with your PS work.