Common Lisp:
(mapc #'princ
(reverse (maplist #'(lambda(l)
(format nil
"On the ~:R day of Christmas my true love gave to me~%~{~a~%~}~%"
(length l) l))
'("twelve drummers drumming,"
"eleven pipers piping,"
"ten lords a-leaping,"
"nine ladies dancing,"
"eight maids a-milking,"
"seven swans a-swimming,"
"six geese a-laying,"
"five gold rings,"
"four calling birds,"
"three french hens,"
"two turtle doves, and"
"a partridge in a pear tree."))))
Edit:
Above is 412 characters if you take out the whitespace.
This one:
(let ((g))
(dotimes (i 12)
(format t
"On the ~:R day of Christmas my true love gave to me~%~{~R ~:*~
~[~;~;turtle doves and~;french hens,~;calling birds,~;gold rings,~
~;geese a-laying,~;swans a-swimming,~;maids a-milking,~
~;ladies dancing,~;lords a-leaping,~;pipers piping,~
~;drummers drumming,~]~%~}a partridge in a pear tree~2%"
(1+ i) g)
(push (+ i 2) g)))
is 344 characters if you take out whitespace and ~ quoted newlines in the format string:
(let((g))(dotimes(i 12)(format t"On the ~:R day of Christmas my true love gave to me~%~{~R ~:*~[~;~;turtle doves and~;french hens,~;calling birds,~;gold rings,~;geese a-laying,~;swans a-swimming,~;maids a-milking,~;ladies dancing,~;lords a-leaping,~;pipers piping,~;drummers drumming,~]~%~}a partridge in a pear tree~2%"(1+ i)g)(push(+ i 2)g)))
Edit:
It looks like the question has run its course, and the site is nagging me to accept an answer. As far as I can see, this one is the shortest. I'm a little afraid of what the site will do if I accept my own answer - probably award me a Narcissist or Masturbator badge.
You can't accept your own answers. Fair enough. I'll leave it open. Thanks to everyone who responded.