Here's the Clojure documentation for Keywords and Symbols.
Keywords are symbolic identifiers that evaluate to themselves. They provide very fast equality tests...
Symbols are identifiers that are normally used to refer to something else. They can be used in program forms to refer to function parameters, let bindings, class names and global vars...
Keywords are generally used as lightweight "constant strings", e.g. for the keys of a hash-map or the dispatch values of a multimethod. Symbols are generally used to name variable and functions and it's less common to manipulate them as objects directly except in macros and such. But there's nothing stopping you from using a symbol everywhere you use a keyword (if you don't mind quoting them all the time).
The easiest way to see the difference is to read Keyword.java and Symbol.java in the Clojure source. There are a few obvious implementation differences. For example a Symbol in Clojure can have metadata and a Keyword can't.
In addition to single-colon syntax, you can use a double-colon to make a namespace-qualified keyword.
user> :foo
:foo
user> ::foo
:user/foo
Common Lisp has keywords, as do Ruby and other languages. They are slightly different in those languages of course. Some differences between Common Lisp keywords and Clojure keywords:
Keywords in Clojure are not Symbols.
user> (symbol? :foo)
false
Keywords don't belong to any namespace unless you specifically qualify them:
user> (namespace :foo)
nil
user> (namespace ::foo)
"user"
(Thanks Rainer Joswig for giving me ideas of things to look at.)
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