The Bad
test-a is self-modifying code. This is extremely dangerous. While the variable x disappears at the end of the let form, its initial value persists in the function object, and that is the value you are modifying. Remember that in Lisp a function is a first class object, which can be passed around (just like a number or a list), and, sometimes, modified. This is exactly what you are doing here: the initial value for x is a part of the function object and you are modifying it.
Let us actually see what is happening:
(symbol-function 'test-a)
=> (lambda nil (let ((x (quote (nil)))) (setcar x (cons 1 (car x))) x))
(test-a)
=> ((1))
(symbol-function 'test-a)
=> (lambda nil (let ((x (quote ((1))))) (setcar x (cons 1 (car x))) x))
(test-a)
=> ((1 1))
(symbol-function 'test-a)
=> (lambda nil (let ((x (quote ((1 1))))) (setcar x (cons 1 (car x))) x))
(test-a)
=> ((1 1 1))
(symbol-function 'test-a)
=> (lambda nil (let ((x (quote ((1 1 1))))) (setcar x (cons 1 (car x))) x))
The Good
test-b returns a fresh cons cell and thus is safe. The initial value of x is never modified. The difference between (setcar x ...) and (setq x ...) is that the former modifies the object already stored in the variable x while the latter stores a new object in x. The difference is similar to x.setField(42) vs. x = new MyObject(42) in C++.
The Bottom Line
In general, it is best to treat quoted data like '(1) as constants - do not modify them:
quote returns the argument, without evaluating it. (quote x) yields x.
Warning: quote does not construct its return value, but just returns
the value that was pre-constructed by the Lisp reader (see info node
Printed Representation). This means that (a . b) is not
identical to (cons 'a 'b): the former does not cons. Quoting should
be reserved for constants that will never be modified by side-effects,
unless you like self-modifying code. See the common pitfall in info
node Rearrangement for an example of unexpected results when
a quoted object is modified.
If you need to modify a list, create it with list or cons or copy-list instead of quote.
See more examples.
PS1. This has been duplicated on Emacs.
PS2. See also Why does this function return a different value every time? for an identical Common Lisp issue.
PS3. See also Issue CONSTANT-MODIFICATION.