I just got CVS ABCL to build using MinGW's GCJ!  I didn't expect it to be as easy as it was:
  1. Get MinGW (w/GCJ obviously)
  2. Get libiconv developer files from the gnuwin32 project, drop the contents in your MinGW directory.  While you're there, pick up the binaries for the DLL's.
  3. Get CLISP (I used Cygwin's CLISP and altered the build-abcl.lisp file to point to the Cygwin path of MinGW GCJ).
  4. Compile.
  5. Put lisp.exe alongside the gnuwin32 libiconv DLL's, and put the *.lisp files under ./org/...
  6. Fire it up!
Now I'm trying to get SLIME to work.  I reduced the problem down to where I could determine it's not SLIME's fault.

I put a simple file, test.lisp:

(defun test () (print "TESTING 1 2 3"))

...in my C drive.

Armed Bear Common Lisp
Java 3.4.2 Free Software Foundation, Inc.
GNU libgcj
Low-level initialization completed in 0.016 seconds.
Startup completed in 7.579 seconds.
Type :HELP for a list of available commands.
CL-USER(1): (defparameter *x* (open "c:/test.lisp"))
CL-USER(2): *x*
CL-USER(3): (stream-element-type *x*)
CL-USER(4): (load "c:/test.lisp")
Error loading c:\test.lisp at line 1 (offset 0)
Debugger invoked on condition of type STREAM-ERROR:

Process inferior-lisp exited abnormally with code 5

I have tried quite a few combinations of this.  I can read-line from the opened stream, but I simply cannot load anything.