If you work with data long enough, eventually you'll come across data that you can't find a library for, and you'll need to write your own parser. Some formats may be simple enough for regular expressions, but if you need to balance syntactic structures in the input or do anything too complicated with the output, you're probably better off creating a custom parser. Custom parsers can be slower than regular expressions for very large inputs, but sometimes they're still your best option.
Clojure—and most functional languages—are great for parsing, and many have parser-combinator libraries that make writing parsers extremely simple.
For this recipe, as an example of a data format that needs parsing, we'll work with some FASTA data (http://en.wikipedia.org/wiki/FASTA_format). FASTA is a file format that's used in bioinformatics to exchange nucleotide and peptide sequences. Of course there are parsers already for this, but it's a simple, yet non-trivial format, which...