Matthew Swank posted an example of generators using Common Lisp in comp.lang.lisp.

His implementation contains a monadic implementation of continuations and call/cc which is quite nice, and the resulting thread has a dicussion on the some implementation variations. A simple example of using the call/cc implementation from later in the thread:

;; Scheme version
(call/cc (lambda (k) (k 42))) 

;; Common Lisp
(run (call/cc (lambda (k) (funcall k 42))))