Clozure CL is easy to install/run on just about any desktop platform (windows included). On *nix, SBCL is a good choice.
I've heard good things about MOCL but haven't tried it myself, and I know getting ECL working on mobile is an uphill battle (but achievable if you have the time). ECL switched maintainers recently, so maybe mobile is something they will focus on in the future.
Seconding the Clozure CL recommendation. It supports threads on Windows, which really expands your options if you want to do web development in Common Lisp.
I run Linux on my web servers but develop from a Windows desktop. CCL works great on both.
Fourthing CCL - it's stable on Windows and fast enough for writing games :).
Also, it's the best free CL for targeting Raspberry Pi - unlike SBCL, CCL supports native threads there, and with the weak but quad-core processor of RPi2, the difference is very noticeable.
I'm surprised how many Windows-based CL devs there are. I am too, however I use SBCL and it works pretty well too, although I have stumbled upon strange Windows-only bugs with it.
The only downside to Clozure CL that I found was the fact that it requires SSE2 instruction support from the processor. There are still some processors around that don't support that -- which can be a bummer if you want to use Clozure CL on one of those machines. Unfortunately, one doesn't always have the option of upgrading the hardware to get around that.
I don't think the developers have worked around that, though I have seen some conversation about it in the past. My limited Google searches on the subject today didn't suggest that anything has changed since the last time I looked at it.
Edit:
Oh, duh, I already said all of this about 4 1/2 years ago:
Another issue I've had is that you can't use 32-bit libraries from a 64-bit image, even with a multilib (in linux or windows). In other words, if your DLLs/SOs are 32bit, you have to use the 32bit CCL executable.
