Heya!
I've always been a bit annoyed at how the *Completions* buffer sticks around even when it's not needed anymore. So I just added a bit of code to slime.el which closes this buffer (if one exists) after pressing space, making use of the slime-space hook.
Everything else works as expected and you can still middle-click on a possible completion, etc., so I don't think this patch will get in the way of anyone's development habits.
I didn't really spend much time figuring out exactly where the code should go and ended up defining a new function "slime-close-buffer" in the "Common utility functions and macros" section (as good a guess as any).
Hope this helps!
Tiago.