I conducted a little survey on the available implementations of Scheme and Common Lisp in Java. The main purpose of using a Java implementation is the ability to embed a Scheme/Lisp program into a Java environment, and thus running it within a JVM, sharing and accessing Java object and accessing Java libraries. Furthermore, I'm a big fan of domain-specific scripting languages as a mean to provide extension points to complex applications, and Lisp has a long and successful story as a scripting language (Emacs, AutoCAD, and others applications).

Some factors to take into consideration while choosing a Java implementation are:

• The license. I took into consideration only open source, OSI-compatible licenses. You may want a LGPL-like license if you are going to embed the language into a commercial application;
• Scheme or Lisp. I agree with Paul Graham that you may prefer Scheme if you want a cleaner, more polished language, while you need Common Lisp if you want to use lisp-like macros.

In my opinion, some viable choices are:

• Armed-Bear Common Lisp. An almost fully compliant Common Lisp interpreter and compiler, with a complete support for macros, together with an emacs-like environment. Outstanding, but with a GPL license. The compiler generates java bytecode on the fly.
  
• Jatha Lisp. A LGPL Lisp interpreter, specifically designed to be embedded. It implements the full Common Lisp specification, with basic support for macros.
• Kawa. An embeddable Scheme interpreter and compiler, almost compliant with the R5RS specification. Choice of GPL license, or a LGPL-like business-friendly license.
• SISC. A embeddable, fully R5RS compliant Scheme interpreter, licensed as MPL or GPL. The authors maintain it "handily outperforms all existing JVM interpreters". It is a very well documented project. SISCweb is a framework for writing web applications based on SISC.
  

Updated, 10 apr 2005, to correct the information about SISC licensing terms, which was wrong.

Updated, 18 apr 2005: two interesting introductive tutorials on Scheme-Style Macros: Patterns and Lexical Scope and Composable and Compilable Macros.