Last I checked SBCL and CCL (both open source native compiled CL implementations) are quite a bit faster than Clasp.
However, if you are primarily e.g. calling computational chemistry libraries written in C++, Clasp is the way to go. It's the only non-C++ language implementation I know of with actually usable C++ support.
The C++/CLI compiler is definitely Windows-only. But I'm not sure whether the generated code would be, if you compile with /clr:pure (which can still handle everything except for setjmp/longjmp).
/clr:pure has been deprecated for some time now, unfortunately. But older compilers are still around...
However, if you are primarily e.g. calling computational chemistry libraries written in C++, Clasp is the way to go. It's the only non-C++ language implementation I know of with actually usable C++ support.