What's your favourite?
See also this related question.
I think the best Common Lisp available is SBCL, but as you can see from the port page the Win32 version is still considered in progress (although, I've used in just fine in windows in the past).
There's a variety of lisps you can pull down as part of cygwin.
Free for personal use, slightly crippled in that version (most notably you can only use the IDE for 5 hours at a time; saving works, though). The commercial versions has a distribution mechanism (i.e., creating stand-alone executables), and the possibility to create your application as a DLL. Moreover, it has the CAPI cross-platform GUI library.
Cusp (Emacs+SLIME alternative; uses SBCL)
Lisp plugin for Eclipse connecting to SBCL (very much like SLIME). On Windows, the port is reportedly a bit lacking, but seemingly improved a lot recently. I've used CUSP w/ SBCL myself on Windows without any problems.
More pointers to Lisp implementations can be found on the ALU (Association of Lisp Users) wiki.
I use Corman Lisp, which does native code compilation and has an FFI for Win32 API calls. It's not free ($250), but it's cheaper than LispWorks ($1k+?).
I use CLISP for Windows delivery because (apart from ECL, which isn't really usable without an installation of GCC, as far as I know) it seems to be the only free Lisp implementation that has been running perfectly on Windows for a considerable amount of time.
I must confess, however, that the last time I looked into SBCL on Windows was a relatively long time ago, so the situation there may have improved. Second, I never use Windows for development, so I can't judge whether CLISP is or isn't suitable for this purpose on Windows. (Frankly, I've always felt that Emacs behaved awkwardly on Windows in some way, even though I can't explain the feeling now.) Finally, as far as I can tell, CLISP still lacks multithreading.
For an example of a CLISP-delivered app (based on LTk, by the way), have a look at ABLE.
As far as I know, Corman Lisp the compiler is free for personal non-commercial use. The thing that you pay $250 for is the IDE (and the possibility of legally distributing commercial stuff).
CLISP. And I'll be trying Cusp Real Soon Now (which runs SBCL).
Lisp in a box is what I use. I haven't used it extensively (I usually code on a linux box), but it comes bundled with emacs...
http://common-lisp.net/project/lispbox/
It can use a variety of implementations. I think the clisp one is free.
SBCL, although still marked as in development, seems a good bet for Windows. And developers are quite easy to reach on Freenode's #lisp. I wouldn't use it for production critical code until its own developers acknoledge it's stable enough, but I wouldn't use Windows for production critical code either!
ECL is also supposed to work fine on Windows, but I never tried it.
I once tried Clisp on windows and it worked. It's one of the implementations of Lisp In A Box
Corman Lisp is good and comparatively priced as were TurboPascal to his time. It's Windows "alone"
LispWorks is IMHO fair priced and available on really many platforms with a GUI-Toolkit which can be used on any of them. It has a nice IDE.
AllegroCL is the most expensive, but I'd argue the most elaborated and largest. I just had used it on Linux and so I can not tell how well of bad the Windows alone IDE is
Regards Friedrich
The port of Clozure CL to Windows is pretty new, but has the advantage that it supports native multi-threading.
After testing Clozure Common Lisp I can definitely recommend it, although there are some issues (which can be easily corrected with a small launcher program), namely that 32bit CCL doesn't work on 64bit windows. However, it's rather stable (or at least didn't crash on me), doesn't have "kittens of death" and supports native threading and good FFI. I'm actually considering it for commercial development on windows.
Not Common-Lisp per say, but would Clojure provide what you are looking for? It is in the Lisp Family running on Java JVM.
If running on the JVM is an option for you, consider ABCL. It's mostly ANSI compliant, multithreaded, and actively developed. As a plus, it gives you access to Java libraries as well.