CL ostensibly comes with a built-in sequence class. The problem is none of the various utility methods that are included are generic functions, so in practice it doesn't do much good. Christophe Rhodes worked on an extensible sequence standard:
In summary: CL comes with some nicer datastructures than Scheme (hash tables, multidimensional and adjustable arrays), but other than that it has the same problems.
My takeaway for this is this -- If the utility methods are not generic functions, it is fairly trivial to write a generic function that wraps around the utility method and then play with additional types as needed. So if the problem with the data structures in scheme and Lisp are that people are spending a whole lot of time repeating conversion patterns, shouldn't those people be developing abstractions, at least for their own use/libraries?
When I read this kind of complaint, I get the feeling people tend to want Batteries Included Their Way. They do not go the one step further to wrap things in the manner they desire. Like-minded folks do not get the benefit of those wrappers. jQuery was a hit because someone deployed his library of common JavaScript patterns.
The problem is that any time you want to interface to code outside of that library, you run into the same "convert vector to list" problem the OP was talking about. The solution really is to cram down Rhodes' proposal into every implementation's throat, so that all existing code can start handling new sequence types.
http://www.doc.gold.ac.uk/~mas01cr/talks/2007-04-03%20Cambri...
It's implemented in SBCL, I think there may be ports to other implementations.
This is the sort of thing the CDR (http://cdr.eurolisp.org) process is supposed to address. Right now they only have proposals for a generic hash table interface (http://cdr.eurolisp.org/document/2/index.html - not integrated with sequences!), and fixes to concatenate-sequence (http://cdr.eurolisp.org/document/3/index.html).
In summary: CL comes with some nicer datastructures than Scheme (hash tables, multidimensional and adjustable arrays), but other than that it has the same problems.