The LOOP macro is the thing I always miss from Common Lisp when I'm using some other language. It's a controversial feature, but amazingly powerful, flexible, and easy to use.

If you're interested in some examples, here's a chapter from Practical Common Lisp on the subject:

http://www.gigamonkeys.com/book/loop-for-black-belts.html

The thing that most amazed me about Common Lisp was not LOOP, but ITERATE. Specifically, "bill a"'s comments in this article (linking to the first one, there are several more down the page):

http://www.randomhacks.net/articles/2005/12/03/why-ruby-is-a...

Iterate is pretty sweet. Also, you can extend it by using macros:

http://items.sjbach.com/280/extending-the-iterate-macro

And iterate has good documentation:

http://common-lisp.net/project/iterate/