SBCL 188.8.131.52 includes an experimental code coverage tool (sb-cover) as a new contrib module. Basically you just need to compile your code with a special optimize proclamation, load it, run some tests, and then run a reporting utility. The reporting utility will produce some html files. One will contain an aggregate coverage report of your whole system, the others will show your source code transformed into angry fruit salad:
For a more substantial example, here's the coverage output for the cl-ppcre test suite.
There are still some places where the coverage output won't be what most people would intuitively expect. Some, like the handling of inlined functions, would be simple to solve. It's just not yet clear to me what the right solution would be. For example in the case of inlined functions the right solution might be suppressing inlining when compiling with coverage instrumentation, or it might be to say "don't do that, then" to the users. Others are fundamentally unsolvable, due to the impossibility of reliably mapping the forms that the compiler sees back to the exact character position in the source file. Hopefully this'll still turn out to be useful in its current state.
If you have any suggestions for improvements, I'd love to hear them.