Inspector[0]: You can click on objects to "inspect" their values. This includes hash-tables, arrays, and closures. In addition you can execute arbitrary code on these objects at any time, even while a program is running.
Trace Dialog[1]: Most Lisp implementations already provide a way to trace procedures. Tracing normally consists of printing the input and the output as each traced procedure is called. Slime provides something much more powerful. Slime's Trace Dialog is similar to trace in that it creates a buffer of the input and output, but instead it is provided in a tree menu format. In addition it is possible to inspect all of the values in the Trace Dialog with the inspector.
Debugger[2]: When an error is thrown in a program, a window pops up which provides several things. You can click on a stack frame to see all of the variables in that frame and then inspect those variables with the inspector. You are also provided with a list of restarts[3]. In addition, you can return a value from a given stack frame, or retry a procedure call on the stack frame (you may have modified the definitions of some procedures before you did this), and have the program continue as if nothing had ever happened.
There are also many other features, such as the ability to macroexpand code by clicking on it, to look up every procedure which calls a given procedure, to look up every place in which a given variable is set, and many other awesome features.
[0] http://common-lisp.net/project/slime/doc/html/Inspector.html
[1] http://common-lisp.net/project/slime/doc/html/SLIME-Trace-Di...
[2] http://common-lisp.net/project/slime/doc/html/Debugger.html#...
[3] http://en.wikibooks.org/wiki/Common_Lisp/Advanced_topics/Con...