Self-contained Lisp IDEs for various OSes (soon):
Lisp in a Box @ Common-Lisp.net
Currently Windows (binary) and Linux (source) are supported.
Mikel Evins has made a Lisp in a Box for Mac OS X out of Emacs, OpenMCL, and SLIME. Version 0.1 is here: http://evins.net/downloads/liab-osx-0.1.zip
LispBox is a version offered by Peter Seibel.