Do I immediately get any clues at a location I jump to from the "Lost In Time And Space" location?
No you don't. Moving from Lost in Time and Space happens during the Upkeep phase, and you may only pick up clues at the end of movement that happens during the Movement phase.

From the Arkham Horror FAQ (page 14):


  Q: Do you immediately gain any Clues at locations
  you move to during Upkeep (from being Lost in Time
  and Space)?
  
  A: No.