When you load Lisp files, they get compiled; this compilation is saved as binary files (often, "fast load files"), that do what it says on the tin: They allow you to, next time, load your program really quickly.
Now, your program also has state. If you want, you can also save the state of the program (i.e. by using the "save-lisp-and-die" command). This can create large files, because this allows you not only to quickly "run" the program again, but to also run it with the same state that it had when you did the save.
You're welcome! Forgot to mention, the other reason executable files (if produced) get big, is that compilation of a Lisp program not only produces the machine language form of your program, but it also includes a Lisp runtime.
The runtime makes possible having the condition-restart system, and the full power of macros (your program can compile lisp code at runtime if needed, thanks to the runtime.)
Now, your program also has state. If you want, you can also save the state of the program (i.e. by using the "save-lisp-and-die" command). This can create large files, because this allows you not only to quickly "run" the program again, but to also run it with the same state that it had when you did the save.