You should check out the EmacsWiki macro tricks page:
http://www.emacswiki.org/emacs/KeyboardMacrosTricks
From there:
If you want to produce this list:
test1
test2
test3
...
Do like this:
C-x r n q (store the number 1 in register q)
C-x ( (start macro recording)
test C-x r i q (insert contents of register q)
C-x r + q (increment register q by 1)
RET (new line)
C-x ) (stop macro recording)