penders - 9:50 am on Jul 27, 2011 (gmt 0)
The more I look at this, the more strange it seems. In fact, if you colour the background of the other elements then you can see that no browser is collapsing the top margin of the p in the footer - which I think is correct, because of the clearing div. This appears directly above the footer/p (in Firefox as well). However, the issue I can't explain is why this very same top margin appears to be bubbling up and causing the gap below the header as well? The top margin of the p appears to be in 2 places at the same time and for this reason I think it's a bug.
Although I'd welcome anyone else to comment on this!