Answer and Explanation
The concept of this shock is based upon static electricity. On dry days, scraping across a non conductor such as the nylon rug means the friction between our two surfaces leads to the build of static charges which stay on our surfaces, ready to leave. And we gain a small potential difference, making us small voltage sources. This causes flow of current when a proper conducting surface is touched as the charges flow away from us, causing an electric shock.
On humid days, the air contains considerable amount of moisture and water can conduct electricity, therefore the air conducts some of the charges away from our body surface. But on dry days, the air lacks moisture, and this leads to more build-up of charges on our body surfaces.
On the paper clip question; a larger metallic surface has more space to accept net charges, as charges normally love to spread out on surfaces.
A paper surface will not accept considerable amount of net charges to shock you, unlike a metallic surface with larger area.