SBCL is -- ahem! -- imperfectly documented. What can we say? Help with
documentation might not be refused.:-)

There is a Unix man page, sbcl.1.

There is a user manual in texinfo format, in doc/manual/. (In
binary distributions, the compiled-into-HTML translations are also
included.) 

Much of the documentation for supported extensions is in their Lisp
doc strings. For example, to find out how to use the SAVE-LISP-AND-DIE
function in the SB-EXT package, you can execute
  (documentation 'sb-ext:save-lisp-and-die 'function)
or
  (describe 'sb-ext:save-lisp-and-die)
in SBCL.

The user manual is incomplete, and some of its chapters are just notes
that "this is similar to chapter such-and-such of the CMU CL user
manual". The old CMU CL documentation can still be useful both for
missing chapters of the user manual and for documentation of the
internals of the system. It can be downloaded from
<ftp://sbcl.sourceforge.net/pub/sbcl/cmucl-docs.tar.bz2>.