Boost::Python, as in wheaties answer, is a very mature solution.
Lua has a reputation for being easy to embed but I have not tried this myself.
As a user of R, I am more interested in embedding R which is possible using the RInside package. A simple example is
#include <RInside.h> // for the embedded R via RInside
int main(int argc, char *argv[]) {
RInside R(argc, argv); // create an embedded R instance
R["txt"] = "Hello, world!\n"; // assign a char* (string) to 'txt'
R.parseEvalQ("cat(txt)"); // eval the init string, ignoring any returns
exit(0);
}
and there are a couple more examples in the package. RInside essentially provides you a nice wrapper around the R engine using some of the Rcpp interface package.