Introductory:
Practical Common Lisp -
http://www.gigamonkeys.com/book/
ANSI CL - another introductory CL book
Keene's Oriented Programming in Common Lisp - Introductory CLOS book
Intermediary-Advanced:
PAIP - a rather good book as well, but I don't know if it should be one's first CL book.
On Lisp - more advanced macros
AMOP - If you want to understand how to implement CLOS in CLOS, as well as learn about the MOP.
Hyperspec - the actual spec, use it with SLIME's documentation lookup
You may also want to read SICP eventually, if you haven't already.
Aside from that, you should set up Emacs, SLIME, maybe Paredit and Redshank, and a decent CL implementation (SBCL or Clozure CL would be good choices, but if you don't like Emacs, you could try going for the commercial ones like Allegro CL or Lispworks).