I agree with everything Paul said but just to take the subject a step further:
Besides affecting the image if you are shooting Jpeg, the in-camera settings for colorspace, contrast, and so on can also impact the image used by the camera for displaying on the LCD and for displaying the histogram. This is usually true even if you are shooting raw. You may want to take this into consideration so that your LCD image and histogram match more-or-less what you want to see in your raw developer later.
For example, if you have your in-camera contrast turned up or are using sRGB, the histogram may indicate clipping when your raw file actually still has some headroom available.
It's not a life-or-death point but I thought you might find it interesting.
Thanks for the responses. That is an interesting point and perhaps a good reason not to set the space as sRGB nor turn up the contrast etc as my main goal is to have good RAW files in case I want to make prints. Though these adjustments would likely give the RAW file more 'headroom' as you indicate, it would also get me to alter the exposure to reduce the clipping on the histogram that is not 'real' and thereby, perhaps, not allow me to get an optimal 'to the right' exposure based on the histogram data.
This is an interesting issue and I wonder how large an effect it would cause. I guess I will leave aRGB and 'bland' jpeg settings for the moment based on this discussion. Anyone have any further input into the issue?