FSet is a functional set-theoretic collections library. Functional means that all update operations return a new collection rather than modifying an existing one in place. Set-theoretic means that collections may be nested arbitrarily with no additional programmer effort; for instance, sets may contain sets, maps may be keyed by sets, etc.
The FSet home page has an introduction and tutorial.
There might be some useful information on the FSet CLiki page.
FSet is installable via Quicklisp:
> (ql:quickload "fset")