There are 3 reasons:
1. In coded audio (e.g. mp3 files) a file that was hard-limited to digital full scale before encoding will often be pushed over the limit by the psychoacoustic compression. A decoder with headroom can recover the over full scale signal by reducing the gain. MAD does this. Typical decoders just clip.
2. Replay Gain will make loud dynamically compressed tracks quieter, and quiet dynamically uncompressed tracks louder. The average levels will then be similar, but the quiet tracks will actually have louder peaks. If the user pushes the pre-amp gain to maximum (which would take highly compressed pop music back to its original level), then the peaks of the (originally) quieter tracks will be pushed well over full scale.
3. If a track has a very wide dynamic range, then even without turning up the pre-amp, the replay gain itself may instruct the player to turn the track up such that it would clip, simply because the average energy is so low, but the peak amplitude is very high. If anyone does find a recording which causes this with the pre-amp gain set at 0, please let me know!
The simple option is to let it clip! However, this isn't a good idea, as it'll sound awful. There are two solutions:
In situation 2 above, the user clearly wants all the music to sound very loud. To give them their wish, any signal which would peak above digital full scale should be hard limited at just below digital full scale. This is also useful at lower pre-amp gains, where it allows the average level of classical music to be raised to that of pop music, without distorting. This could be useful for making tapes for the car. The exact type of limiting/compression is up to the player, but something like the Hard Limiter found in Cool Edit Pro (Syntrillium) would be appropriate (for pop music at least).
The audiophile user will not want any compression or limiting on the signal. In this case the only option is to reduce the pre-amp gain (so that the scaling of the digital signal is lower than that suggested by the replay level). In order to maintain the consistency of level between tracks, the pre-amp gain should remain at this reduced level for subsequent tracks.
If the Peak Level is stored in the header of the file, it is trivial to calculate if (following the Replay Gain adjustment and Pre-amp gain) the signal will clip at some point. If it won't, then no further action is necessary. If it will, then either the hard limiter should be enabled, or the pre-amp gain should be reduced accordingly before playing the track.
Someone at some point needs to write a hard limiter, or other similar device.