It is my first contact with FP, but what I find incredibly cool is the way the data structures are transparently persistent. If it's true this is a rarity in functional languages, I can't imagine using another one.
Let's say you have a map, and you change a value in it. Being a functional programming language, and the map being an immutable structure, you end up with two maps: the old and the new. Now, the cool part is every data-structure in clojure is designed _not_ to do this by copying the whole thing. You'll have two maps who share everything except the changed value. Same with collections, sets, trees etc. The work under the hood must be impressive...
Another nice thing (for me at least, coming from imperative programming) is there is a better difference between a variable and a value. A variable is a placeholder, and a value is ... well, a value. In clojure you treat them separately. A better explanation: http://clojure.org/state