Look for problems with your macro definitions, such as a macro that is
missing a quote. When compiled, this definition essentially becomes a
constant. But when interpreted, the body of the macro is executed each
time the macro is called.

For example, in Allegro CL the following code will behave differently
when interpreted and compiled:
  (defvar x 10)
  (defmacro foo () (incf x))
  (defun bar () (+ (foo) (foo)))
Putting a quote before the (incf x) in the definition of foo fixes the
problem. 

If you use (SETF (SYMBOL-FUNCTION 'foo) ...) to change the definition
of a built-in Lisp function named FOO, be aware that this may not work
correctly (i.e., as desired) in compiled code in all Lisps. In some
Lisps, the compiler treats certain symbols in the LISP package
specially, ignoring the function definition. If you want to redefine a
standard function try proclaiming/declaring it NOTINLINE prior to
compiling any use that should go through the function cell. (Note that
this is not guarranteed to work, since X3J13 has stated that it is not
permitted to redefine any of the standard functions).

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