Macros are the main reason I decided to create Adder, a Lisp-on-Python with minimal impedance mismatch. Unfortunately, the first macro-heavy program I wrote turned out to be really slow, because macros engage the compiler, which, of course, is in Python.
When I first tried it, it took something like 50s at 2.4GHz, virtually all of which was the compiler. (The compiler runs at load time; obviously, saving the compiled code for the next run would help.) I got it down to...let me try it now...7s at 3GHz, but that's still too slow for a 200-line program.
If anybody's interested, the code's on Github [1]. To see the macro-heavy example, look at samples/html.+, which is an HTML generator. The framework takes 169 lines; the sample page starts at line 171. To see the output, run:
./adder.py samples/html.+
[1] http://github.com/metageek/adder
(Edit: it requires Python 3.x.)