Collar Bone
A clavicle piercing (subclavical really) actually passes underneath the collarbone, penetrating the inner body cavity. While a surprising number of them have been successfully healed (at least partially), they have the potential to transfer infection past the body's natural defenses and are not recommended - although they are striking to see. They are also prone to scarring which could impede mobility as well as being aesthetically unpleasant, and the body has to go to an enormous effort to build the fistula.
General Information about Deep Piercings
Due to the depth of the piercing, knowledge of all relevant anatomy and potential anatomy is very important. A very important thing to remember when looking in an anatomy text is that everyone's body is quite different, and it is not as simple as reading a map. Also, the deeper one goes, the greater the risk of hitting something vital (nerve, artery, etc.). In many deep piercings it is not as simple as shining a light through the tissue to figure out the subcutaneous structures, and other methods need to be used to avoid damaging something vital.
External Links
Sub-Clavicle Piercings WHY-NOT-HOW-TO BME/News article by Jordan Ginsberg.