From John Cowan:

TAGBODY doesn't actually require continuations, delimited or undelimited, just proper tail calling. A macro can rewrite each section of the TAGBODY into a procedure nested within a `let` that tail-calls its successor, and the body of the `let` tail-calls the first procedure. (GO tag) is then equivalent to just (tag). This is a great way of doing state machines. Chicken has a tagbody egg, I think.