Well if you make a drop shadow then make a clipping mask and save it as an EPS then when you bring it into AI then you'll have issues with the shadow, Your shadow will fade to white, (or what ever your background color is in PS). An easy fix is to not save it as an EPS. Paste your logo in PS and give it your Shadow, but save it as a PSD. AI handels PSD's just fine, and your shadow will look good.