I'm looking for a fast language (ie. a language that can be compiled natively to achieve performance not more than 3 or 4 times slower than C), which supports portable continuations. By this I mean a continuation that can be serialized on one computer, and deserialized on another.
I know that SISC can do this (a Scheme implementation in Java), but its slow. Ditto for Rhino (a Javascript implementation in Java).
Did you checked OCaml ? It can be compiled and should be marginally slower than C.
Continuations and delimited control
Scala 2.8.0 will allow continuations, and they'll be portable.
While I agree that dialects of Caml might be an excellent choice I feel I have to mention Gambit Scheme. Together with Termite, an erlang-like framework it has support for serializing continuations, sending them over the wire, and much more.
It compiles to C-code.
Its possible to do serializable continuations in Java using Apache JavaFlow - if you do go that route then the Swing Continuations library at:
http://www.exploringexcellence.com/swingcontinuations/download.html
makes it the coding a lot more pleasant.
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