If an s-expr involves multiple-lines (ie. the s-expr is incomplete and RET is typed), Lisp enters the debugger with an EOF error during READ. I observe this problem with both CMUCL and Allegro.
The SLIME info for 'REPL commands' says:
`RET' `slime-repl-return' Evaluate the current input in Lisp if it is complete. If incomplete, open a new line and indent. If a prefix argument is given then the input is evaluated without checking for completeness.