Hadley Wickham has written a comprehensive tutorial for the Rcpp package, which makes it easy to create C++ code embedded in R programs. Hadley explains why you might want to do this in the introduction:
Sometimes R code just isn't fast enough – you've used profiling to find the bottleneck, but there's simply no way to make the code any faster. This chapter is the answer to that problem. You'll learn how to rewrite key functions in C++ to get much better performance, while not taking too much longer to write. The key to this magic is Rcpp, a fantastic tool written by Dirk Eddelbuettel and Romain Francois (with key contribution by Doug Bates, John Chambers and JJ Allaire), that makes it dead simple to connect C++ to R. It is possible to write high performance code in C or Fortran. This might produce faster code than C++ (but probably not), but it will take you much much longer to write. Without Rcpp, you must sacrifice many helpful wrappers and master the complex C internals of R yourself. Rcpp is currently the best balance between speed and convenience, and any other approach will be much more painful.
No knowledge of C++ is required, so if you have some R code — especially tight loops — that you need to speed up, you should definitely check it out the whole tutorial.
This guide comes from a book on writing reproducible code that Hadley's working on. You can browse the other sections of the book on GitHub — even though the book isn't yet complete there's a wealth of useful information there for any serious R programmer.
Hadley Wickgam (github): Rcpp