LispWorks or SBCL or what?

I don't care about ^GNU/_Freedom, which should I use?

SBCL (Steel Banks Common Lisp) does not have a windows port. Also it is based on CMUCL (Carnigie Mellon University Common Lisp). The reason its called Steel Banks is that Mellon was a banker and Carnigie was into Steel.

CLisp has a windows port. And there is Lispbox which integrates Lisp with emacs and slime
http://common-lisp.net/project/lispbox/