When I read Larry O'Brien's post IronPython as a Foundation for DSLs, I had a strong sense of deja-vu. I went thru a very similar thought process when I discovered the early versions of IronPython were written in Python. I figured that meant Python must have some support that makes building compilers easier. Unfortunately, that doesn't turn out to be the case. Python provides a standard module called parser which "provides an interface to Python's internal parser". That means that compiling Python is easy, but there's no support for compiling any language other than Python.
I've been doing a little experimenting in this space. First, as I've written before, I've been playing with parsing expression grammars. Second, I want to take a close look at Metaphor from QUT:
Metaphor is a programming language with support for type-safe run-time code generation -- a form of meta-programming. Metaphor is based on a subset of C# or Java and combines the imperative, object-oriented nature of these languages with the multi-stage programming constructs from MetaOCaml. Metaphor uses the static type system of multi-stage languages to achieve compile-time safety of run-time generated code... Metaphor is implemented as a compiler on the Microsoft CLR.
Metaphor is a programming language with support for type-safe run-time code generation -- a form of meta-programming. Metaphor is based on a subset of C# or Java and combines the imperative, object-oriented nature of these languages with the multi-stage programming constructs from MetaOCaml. Metaphor uses the static type system of multi-stage languages to achieve compile-time safety of run-time generated code...
Metaphor is implemented as a compiler on the Microsoft CLR.
Finally, I need to take a closer look at ANTLR. Don't know how I missed it, but I had never seen ANTLRWorks until Larry linked to it.