There are. Any language that supports either fastcgi, or runs as an apache plugin (or similar) functions in the "each request starts new" space. There's certainly others, but Python and Perl are both good examples.
Starting new with each request does, of course, mean lots of re-work that shouldn't have to be done with each request. It does initially keep complexity down, but at scale, the applications I've worked with have to use a shared cache (like acpu) to avoid that rework and meet performance goals.