Specs:
Clojure 1.2.0 and 1.3.0 (tried 'em both, and MacPorts Clojure and Homebrew Clojure)
Mac OS X 10.6.6
MacBook Pro 5,1
$ cat hello.clj
#!/usr/bin/env clj
(ns hello
(:gen-class))
(defn -main
[greetee]
(println (str "Hello " greetee "!")))
$ clj
Clojure 1.3.0-master-SNAPSHOT
user=> (compile 'hello)
CompilerException java.io.IOException: No such file or directory, compiling:(hello.clj:3)