Creating and redefining functions on a running program is incredible to experience. The turn around time for feature is so much quicker because you can, for example, save a web request and continue applying it to functions until you figure what's wrong.
You're also able to inspect data just by clicking on it. For example, I can define a class, create an instance of it and then click on it to see its data. https://i.imgur.com/4jydmBy.png
Another interesting feature is how errors are handled. If you encounter one which causes the program to stop, it'll raise a frame from which you can choose what it should do next. Should it continue anyway or retry, maybe you should redefine a function, maybe you want to change some of the data. Options are endless.
Something else that I don't use nearly as much as I should is the labels feature from SLY, which allows you to mark certain sexps and record the data that gets passed through them. Image here: http://joaotavora.github.io/sly/images/tutorial-6.png
There is so much more that could be mentioned and I'm sure there are other people with their own favourite features but these are mine.
For a longer visual introduction, I have been enjoying kaveh808's videos: https://youtube.com/playlist?list=PLTA6M4yZF0MzsMlNL0N67tIU1...
This longer demo of an early version of kons-9 talks about some CL features:
https://www.youtube.com/watch?v=NJe4isZ7NHI&list=PLTA6M4yZF0...