What I'm doing presently, for a graphical application that uses OpenGL and GLFW, is developing primarily with SBCL, and giving my testers deliveries via cl-launch. However, my plan is to use CCL to build an application bundle on OS X, and ECL to build a stand-alone executable on Linux and Windows. The bundles I'm building at the moment with cl-launch are fairly large (typically 30M and up), while the tests I've done with ECL have been much smaller (libecl weighs in at about 1.3M on my system). However, I would expect SBCL to perform better (though I'd profile to make sure, first!), so your choice will depend on your application.
However, if I were doing this commercially, I would invest in one of the commercial implementations. Rainer Joswig mentions LispWorks and Allegro above. For Windows app delivery, you can also consider Corman Lisp. My impression is that the fastest but most expensive route to doing application delivery across those three OSes is to buy Allegro, but an alternative (more work, but cheaper) would be to use CCL on OS X, Corman on Win32, and ECL or SBCL on Linux. LispWorks seems to be a choice in between, although many people swear by it, so I wouldn't discount it as inferior to Allegro just because it's more affordable.
The graphics library issue is something separate; my impression is that the situation is constantly improving (callbacks in CFFI seem to work on most platforms now, which is a big help in interfacing to most C toolkits), but I've been working more with GL, GLFW, GLUT, and SDL (though not yet with lispbuilder, mentioned by justinhj above, which looks cool). I did experiment a little with wxCL a year or two ago, and it seemed promising.
The nice thing about CL is that, with so many good implementations, you can develop in your implementation of choice, and most of your code should be easily ported to whichever implementation you choose for application delivery on a given platform.