Syntax-highlighted Clojure REPL is entirely possible in Emacs -- I wrote the necessary code in response to a very old question here on SO: Is there a colored REPL for Clojure? I have since tweaked it to handle the prompt and printouts from the Clojure process properly; the updated version is available in this Gist. Note that it's meant to augment the SLIME REPL and that the most recent version relies on a reasonably fresh clojure-mode. I was going to package this properly so that slimey Clojurians can just drop it into their Emacs configs... might just do it sometime soon.
As another option, I seem to have an extremely vague recollection of VimClojure's REPL highlighting user input a long time ago... I definitely could be wrong about this, though.
Oh, and since you're curious about other possible ways to start Clojure REPLs -- all the IDE plugins provide their own REPLs; you could use the regular inferior-lisp-mode in Emacs; java -jar clojure.jar
starts a REPL with the current working directory on the classpath; if you embed swank-clojure in your app, you can start REPL servers from within it; VimClojure provides a nice REPLing experience inside Vim (and I believe it provides an equivalent of M-x slime-connect, though, once again, I haven't used it in a pretty long time); you can use Leiningen or clojure-maven-plugin to start stand-alone REPLs or swank instances (I'd expect other Clojure-aware build tools to be capable of this too); cljr can start console REPLs, REPLs packaged in a Swing window and swank instances; there might be more.