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.
How about using F# quotations?
http://tomasp.net/blog/fsquotations.aspx
Have you looked at Boo? While Boo doesn't have macros, it has an open compiler pipeline, which is a good alternative to macros for syntactic metaprogramming.
[EDIT] As noted in the comments, Boo does have macros now.
There are two actively developed Lisps for .net
IronScheme - DLR based scheme implementation
Xronos - DLR based port of clojure
Recently I have been hearing whisper about F#, I tried to look at the documentation if I could find anything about macro support, but haven't found it. So does anyone know?
F# does not support macros and it is unlikely that it ever will.
Nemerle, at http://nemerle.org/ , is a .NET language (also supporting mono) that supports a lot of of the functional programming paradigm while staying visually close to C#. It has extensive macro support.