I have the LispWorks 64bit Enterprise Edition. It does provide Unicode, concurrent threads, database access, networking, GUI lib, ... Some of the other stuff I have loaded as libraries. My base image with software loaded is probably larger than SBCL's but it also contains more stuff.
LispWorks runs also nicely under Windows.
Possible drawback: it is commercial and not open source.
Not only that. It buys you one of the fastest Lisp implementations, which runs nicely on Windows, Linux and Mac - everywhere with native GUI. Windows isn't that well supported by open source Lisps. The commercial ones are much better in that respect. Though, for me the Mac OS X support is more important, since I'm also not a regular Windows user.
You might want to also have a look at ClozureCL for Windows[1]. It's very small and has some other nice features (OS level thread support, unicode, ...).
I went through CLisp and SBCL for Windows, but decided against SBCL due to its large runtime image.