Lispbox is a good idea. Target Windows if you can. Setting up Clojure with Emacs on Windows involved a lot of steps and arcane stuff, but now there's a Clojure Box which makes things a lot more pleasant.

I've tried SBCL with the Eclipse plugin and it's been a huge PITA. IIRC, I couldn't get libraries to install when I finally gave up. It may have improved since, but I'm not sure. Of course the fact that many cool-sounding CL libraries had defunct websites and inaccessible CVS repos didn't exactly encourage me...