Executables
SBCL can save executable images, as Greg Harman mentions (see the :EXECUTABLE keyword): http://www.sbcl.org/manual/index.html#Saving-a-Core-Image
Scripts
Lisp files can be executed as scripts, see: http://www.sbcl.org/manual/#Shebang-Scripts
Command Line Options
SBCL has command line options to evaluate/load lisp code on start: http://www.sbcl.org/manual/#Command-Line-Options
SLIME
SLIME is an Emacs interface for Common Lisp. One can use SBCL via SLIME from within Emacs. Many people prefer Emacs Lisp listeners over typical shell interfaces.
Most Common Lisp implementations have similar capabilities. For details consult their manual or ask here for specific implementations.