Thank you for the answer, very interesting. Here's some more things I found:
1) actually the "reference to undefined identifier" error can be avoided un-quoting the variables at calling time, as in:
(let i 2 (eval `(+ ,i 1)))
(time:for i 1 1000 (mywhen `(is ,i 666) '(prn "Oh no!")))
2) the last expression is computed in 176 msec, whereas the regular macro 'when' is computed in 2 msec (much faster as you forecasted).
