After reading Practical Common Lisp I finally understood what the big deal about macros was, and I have been looking for a language for the .NET platform that supports this.
Well, F# is based on OCaml and OCaml has a rather extensive macro system. Given the syntactic and semantic similarities of F# and OCaml you may be able to port over the Ocaml macro system to F#.
Other than stealing Ocaml's macro system I'm unaware of a canned macro system for F#.