Unicode Support
Unicode Support varies in different Lisps. The following information was taken from Bruno Haible's 2000 post to comp.lang.lisp, Message-ID

Let me try to give a summary of the features in
  - *(CLISP) 2000-03-06
  - Eclipse
  - ACL 6.0 (not yet released)
  - LispWorks 4.0.1

* Character and string types

  In Eclipse, ACL, LispWorks the type BASE-CHAR includes only Latin-1
  characters, whereas the CHARACTER type includes all of Unicode (16 bit).

  In CLISP, BASE-CHAR and CHARACTER are equivalent and include all of
  Unicode (16 bit). The memory representation of read-only strings
  (e.g. symbol print names and program literals) is optimized to 1
  byte/character if possible.

* Supported external formats of streams

  - CLISP 2000-03-06: Around 80 external formats, including all of the
    ones supported by browsers and Linux locales.
  - Eclipse: Only :ASCII (1 byte/character), :UCS (2 bytes/character),
    and :MULTI-BYTE (locale dependent multibyte representation, works
    only on OSes for which wchar_t is Unicode).
  - ACL 6.0: Lots of external formats, mostly table-driven.
  - LispWorks: Around 10 external formats, including Latin-1, Unicode
    (2 bytes/character), UTF-8, and the most important Japanese encodings
    (but not ISO-2022-JP).

  Different end-of-line conventions are indicated to OPEN through the
  :external-format argument in CLISP and LispWorks, and through an extra
  argument to OPEN in Eclipse.

* Additional API

  - CLISP: STRING-WIDTH returns the display width of a string, used by
    FORMAT ~T.
  - Eclipse: none.
  - ACL: unknown.
  - LispWorks: functions for guessing the encoding of a file (important
    for Japanese environments)

* FFI support

  - CLISP: FFI can pass strings only with single-byte encodings.
  - Eclipse, ACL: unknown
  - LispWorks: a few specialized macros for passing strings from/to C.


CMUCL

As of version 20A, CMUCL has Unicode support, using UTF-16 internally.

SBCL

As of version 0.8.17 SBCL features Unicode support
* new feature: a build-time option (controlled by the :SB-UNICODE keyword feature, enabled by default) for building the system with support for the entire 21-bit character space defined by the Unicode consortium.
There are a few details on the sbcl-internals cliki, and a more detailed explanation from Christophe Rhodes which he presented at the European Common Lisp Meeting, April 2005 in this pdf.


CLISP

Since version 2.31, CLISP supports the entire 21-bit Unicode character space.
Since version 2.35, the FFI can pass strings in multibyte encodings as well.
Here's a link to Bruno Haible's The Unicode HOWTO


ACL

Here are the docs on Unicode.