> pay a fortune to get a CL system that works cross-platform with things like threading or a FI that allows lisp callbacks from C code

like 'zero'. ;-) Use Clozure CL: http://ccl.clozure.com

> Clozure CL also provides a mechanism for defining callbacks: lisp functions which can be called from foreign code.

> Clozure CL provides facilities which enable multiple threads of execution

Runs on Linux / Windows / Mac OS X and others.