Scheme is a terrific language, although not my favorite Lisp-y language. There are a multitude of excellent implementations, including a few for the JVM. I'm partial to DrScheme, but if you're just starting out you might want to explore a more "vanilla" implantation, depending on your goals.
I second SICP as being a Very Important Book for developers.
(Much of what's great about Scheme is also great about Clojure, although Clojure's macros are CL-like as opposed to Scheme-like. But if you're interested in staying on the JVM, great
Java integration, and functional programming and concurrency, Clojure is a better choice.)