Clozure, mostly because the SBCL compiler is very slow. I'd use CLISP but the backtraces in SLIME are full of junk.

Currently, I develop in Clozure and SBCL alongside, and it's true that SBCL compilation speed (and memory consumption) can be prohibitive at times, but in return it may give up to 3-4 times execution speed increase. So it's a real trade-off worth considering. We now use CCL for interactive development and SBCL on the server.