I will, however, take the opportunity to recommend FSet, my functional
collections package for Common Lisp:

  http://common-lisp.net/project/fset/

Well, I'm not saying you should try to use FSet from the beginning.
First you need to learn to use lists in a functional way.  But as you
write Lisp applications, sooner or later you will come to a point
where some part of your code is using lists that are getting too long
to be efficient (since, for instance, finding something in a list
requires a linear search).  At that point you might consider
substituting an FSet type for the long list.  (Lisp also offers
vectors and hash tables, but these are imperative types.)

Of course, this would be easier if I had gotten around to writing any
tutorial material for FSet, which I have not :(