SBCL 0.9.10 will be able to create executable binaries
From the NEWS file in the current CVS version of SBCL:
- new feature: new SAVE-LISP-AND-DIE keyword argument :EXECUTABLE can
be used for bundling the runtime and the core file into one
executable binary. This feature is not currently supported on all SBCL
platforms. (thanks to James Bielman and NIIMI Satoshi)