Neat, huh? I think it's been around since at least cs2, and I don't know if it's been fixed in cs4. My solution is to either adjust the size of the masked "background" shape or to apply the fill(s) to the mask itself.
Frikkin sucks. If there is a stroke on the shapes it works fine....hmmm
How do I apply a gradient or fill to the mask, it doesn’t seem to work here.
If you have any attributes on your object that you're using as your clipping path (fill, stroke, drop shadow, etc...), they will get removed when you make it into a path. You have to apply them after the fact. To help select the mask, you can either grab it with the direct select tool or you can select your whole masked group, mask and all, and use these two buttons up in the control bar (up above your window) to help select it:
Clicking the left circle will select only the masks within your selection, clicking the right one will give you just the contents.