The Clique is:

Shawn Michaels
Kevin Nash ("Diesel")
Scott Hall ("Razor Ramon")
Hunter Hearst Helmsley
Sean Waltman ("1-2-3 Kid", "Syxx", "X-Pac")

These five wrestlers, best friends in real life, were all in the World Wrestling Federation together in the early 1990s. During that time period, they held almost all of the booking power and were thus all pushed to the moon. They'd refuse to sell moves (act hurt) for anyone who wasn't in The Clique and would often refuse even to lose to any outsider. The Clique's influence diminished somewhat with the departure of Scott Hall and Kevin Nash for WCW in 1996, although Michaels and HHH still retained much of their pull within the organization.

The "MSG Incident" in reference to The Clique refers to a WWF house show at Madison Square Garden in 1996--Hall and Nash's last day in the WWF before they left for WCW. After the main event, which was Michaels vs. Nash, Hall and HHH joined the two of them in the ring for a group hug and about ten minutes of posturing and posing. This was a gigantic break in kayfabe, since some of the four were babyfaces (good guys) and the others were heels (bad guys). As punishment, HHH was demoted and moved down the card for the remainder of the year. (Michaels couldn't be touched, as he was WWF Champion at the time.)

The Clique also laid the seed for Degeneration X, as the story given when Michaels and HHH formed DX was that they were trying to get fired so they'd be able to join Hall and Nash in WCW.