so I don't really need help with any function in particular, considering I'm pretty comfortable with SAI, but I just want to know:
I'm watching an artist on ustream right now and she's using several of these but I can't... quite... figure out what they do, just that they seem to make shading a whole lot simpler, haha. Any help would be great!

Layer set is pretty much grouping your layers together. For example... if you've multiple people in a drawing and multiple layers for each, you can give each character a layer set, so all their layers will be found in that little folder, and you can hide them all at once. And you can 'close' the folder, so you don't see all the individual layers and everything just looks a bit more organised. Especially if you have different layers for shadows, highlights, base colour... then everything can get a bit cluttered. I have a feeling you can do more with the layer folders, but urhh that's all I use them for. I never used groups until SAI, because I could never figure them out properly in OC. x:
Clipping a layer and preserving opacity are kind of similar. If you've got a layer that, for example, you've laid down the flat colours and want to throw on the shading, but don't want to go outside the area you've coloured, you hit 'preserve opacity' and you can only colour over the opaque sections. (thus, transparent sections are kept intact... as well as if you have a semi-transparent area, it will still semi-transparent, just change colour.)
Clipping means it won't go over the transparent sections of the layer underneath it. I don't use this that much so, I probably can't give a full impression of it, but urrh play around with it and you'll see pretty soon, I think. From what I gathered from other artists, they have the flat colour in one layer and shadows in another, and by hitting 'clipping' on the shadows layer it all stays within the flat colour region.
It's pretty much the same across most art programs, they just might call it different things. I think pictures would help, but if you play around with it a bit it should become a bit clearer. You'll probably get a better understanding of it that way! or just hit it until it does what you want it to do x:

Everything looks to be pretty clear with what Lucifel said but I love the layer clip. xD
Clipping a layer is exactly what lucifel said BUT I use it very often. I do my sketch on one layer, my lineart on another, and my base coloring on another layer. When I go to work on my shading and highlights and details I create a new layer ontop of the base coloring layer and it helps me because I can be sloppy on the outside of the lines and be careless with it. You can do the same thing in photoshop by right clicking on a layer and selecting the 'create clipping mask' option.
Lucifel was pretty clear with the opacity too, to me in the simplest terms it seems like the layer clip option only on the same layer.