I've been playing with OpenGL, Common Lisp (SBCL, CCL, Lispworks Personal) and SLIME again. Mostly I've been establishing a S-Expression exporter for Blender so I can export entire scenes to the engine I'm working on.
I did discover some wrinkles of working on OpenGL development with SLIME in Windows. CCL uses the :spawn communication style in SLIME which uses it's multi-threaded nature to run each repl request in a seperate thread from the executing lisp code. So if you have your OpenGL app running in the background as you develop it, if you write an experimental form at the repl that includes OpenGL calls, its going to fail, since it will not be executing in the main OpenGL thread.
The solution is to fall back on the nil communication style, which is not threaded and is blocking. This has the less than desirable effect of blocking your repl until the executing app finishes. This can be circumvented by calling swank-handle-requests - like so
(initially (progn ,init-forms))
(skip-photons-loop "Skip photons loop body")
(skip-swank-request "Skip swank evaluation")
(or swank::*emacs-connection* (swank::default-connection))))
(swank::handle-requests connection t)))
(finally (progn ,exit-forms))))
There are actually some subtelties here. The skip-photons-loop restart allows you to recover from an error in the loop body, by recompiling the offending form, when the handle-requests function is called, while the skip-swank-request restart allows you to recover from entering an invalid form at the repl without losing the application.