Setting up SBCL+Emacs+SLIME is really easy if you use Ubuntu or some other distro that contains packages for them. All you need to do in current Ubuntu is

    $ sudo apt-get install sbcl emacs slime && echo "(require 'slime)" >> ~/.emacs

and then start emacs and press Alt+x, write `slime´ and press enter (M-x slime for the initiated).

Now using all the available features of that combination will take a lot of time, but starting isn't really hard.