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.
I thought I should point out that there is now a pretty active .NET/Mono port of Clojure. Clojure supports LISP style macros as is noted in the question.
As others have said, macros are not supported in F# at this point (late 2010).