Three Implementation Models for Scheme is the dissertation of Kent Dybvig (of Chez Scheme fame). It contains a very nice abstract machine for (learning about) implementing a Scheme with first-class continuations. I'm currently trying to grok and implement this model, and then extend it to delimited continuations.
A Monadic Framework for Delimited Continuations contains probably the most succinct description of delimited continuations (on page 3), along with a typically hair-raising example of their use.
Adding Delimited and Composable Control to a Production Programming Environment. One of the authors is Matthew Flatt, so you know what to expect - a tour de force. The paper is about how Racket implements delimited control and integrates it with all the other features of Racket (dynamic-wind, exceptions, ...). Apropos, compared to Racket, Common Lisp is a lightweight language.
Subcontinuations. This is an early paper on delimited continuations. It also describes control filters, a low level facility on top of which dynamic-wind can be implemented. Control filters are also mentioned - in passing - as a nice tool in the Racket paper (above).
Fexprs as the basis of Lisp function application or $vau: the ultimate abstraction and the Revised-1 Report on the Kernel Programming Language. These two are probably the two papers I would take to the desert island at the moment. I'm only a long-time apprentice of programming languages, but I know genius when I see it.
If you know of any related nice papers, let me know!