Now I'm generally in Java/C# (love both of them, can't really say I'm dedicated to one).  

And I've recently been discussing the differences between F# and C# with a friend, when he surprised me saying: "So.. F# sounds a lot like lisp, but with way less 'Swiss-army knife' feel to it."  

Now, I was partly ashamed of saying this but I have no idea what lisp was.  

After some searching, I saw that lisp is very interesting, but got stumped by the multiple dialects and running environments.

Here is what I know:
I know of 3 dialects:

* Common Lisp (I have the [Practical Common Lisp](http://www.gigamonkeys.com/book/) book in my bookmarks.
* Scheme (a more "theoretical" version of CL)
* [Clojure](http://clojure.org/). Seems to be a version of CL that runs on JVM.

The basic idea of lisp seems to be about using code as data.

What I want to know:

* What is the running environment for different dialects? How do they work/get installed (by this I mean is it a runtime like Java Virtual Machine, or if it requires something else, or if it's supported generally by the OS (as in compiled)). And how to get them (if something is to be gotten)
* What is the better dialect to learn (I want the dialect not to be a "learning language" but one you can fully use afterwards without regret of not learning some other one, for example one should first learn C++ before trying out Visual C++, if you know what I mean)
* What are the main advantages of lisp in general (I've seen many pages about that saying it's faster in development and execution, but they were all pretty vague about the details)
* Can it be generally used for general purpose, or is it concentrated on AI? (By this I mean if, for example, one could make a full console app with it, and then implement OpenGL just as easily and make a game. Learning a language specialized on something precise is worthwhile, but not at the moment for me)

I would also be very happy about any additional details you guys can give me! (Links are appreciated too! E-Books and whatnot.)

***Edit:*** all of the answers here were very useful. As such, I gave them all a +1 to rep, but chose the more concrete one as best. Thank you all.