I recently started learning Clojure myself, and found labrepl useful.
It lets you get familiar with the basics and the REPL, contains a number of exercises and describes quite a bit of non-obvious stuff that is hard to find in the documentation since you don't yet know what you are looking for.
Recommended.
Edit
Also the Python Challenge, a series of puzzles that can be solved by a few lines of programming; the solution to a puzzle gives you the URL to visit for the next puzzle.
Although not specifically Clojure, the puzzles are quite entertaining and a good way to get your feet wet with any new language IMHO. (There are a couple of puzzles that are specific to Python, but the majority are not. See the forum for Python Challenge Hints when stuck.)
The Python Challenge differs from the Euler tasks in being more practical and less math oriented; tasks include things like filtering the bytes of an image and following hyperlinks programmatically.