Common Lisp Implementations I use are Clisp under win32 and linux and SBCL under linux. I'm also keeping a watch on win32 port of SBCL, and win32 version of ECL. ABCL is nice too, as it runs everywhere where Java runs.
Killer lisp implementation would be one that would run on both win32 and Linux, support threads, be free for use in both open and closed source projects. There is no close match currently, but once SBCL port for win32 is completed, it would be verry close.
Also, I'm currently in search for a decent free profiler library that actualy works.