Build something cool. Rinse. Repeat.

Doing exercises and plowing through books is great but solving your own problems, to me, is key.

Most books won't even touch the surface of the real things you'll deal with, like how to interface to C or Java for example, or even mention the most important part of developing : other people's code.

My advise FWIW:

First set up sbcl/emacs/slime. This is really not debatable.

Then in no particular order - think holographic distribution:

a. Hang out on #lisp

b. Read comp.lang.lisp

c. Collect and read and use the free (as in liberty) libraries: http://cliki.net http://www.cl-user.net

d. Build software for yourself and your friends