There are portions of ANSI CL that leave certain details up to the implementations to determine; you will find that for those parts of the standard, each implementation will have its own quirks.
Also, look for things that are important to the runtime but not defined in the language: things like threading and multiprocessing and garbage collection will vary substantially in performance and reliability.
I have found SBCL to be the easiest implementation to work with in Linux; it has good support for threading in Linux. I can't say much about the garbage collector, because it hasn't mattered to me much yet.
On Windows, your best bet will probably be Allegro or LispWorks, although I've had some success with clisp on Windows. The Windows port of SBCL is progressing, but I haven't used it much, so I can't really comment.
Generally speaking, an understanding of these kinds of things that are difficult to acquire through research or analysis; it comes through experience. Just pick a decent implementation that you're comfortable with, and get to work. You'll figure out the tricky stuff as you go.