First thing I searched for on the page: loop (not found).
One of the nice things about CL programmers is that we're all pretty smart and we can disagree while acknowledging each others' points. PG also dislikes CLOS for example. I think he's wrong about that, but I respect his opinions.
If you don't want loop, you can always use iterate. :-)
[0] http://jtra.cz/stuff/lisp/sclr/let.html
Edit:
That is to say, this is a simplified reference, and loop is a macro, not a special form.
(loop :for i :below 5
:when (evenp i) :collect i)
;=> (0 2 4) (prog ((result '())
(i 0))
loop
(when (>= i 5)
(return (reverse result)))
(when (evenp i)
(push i result))
(incf i)
(go loop))