What is a good scripting language to integrate into high-performance applications?

Lua has the advantage of being time-tested by a number of big-name video game developers and a good base of knowledgeable developers thanks to Blizzard-Activision's adoption of it as the primary platform for developing World of Warcraft add-ins.

Lua have been used in video-game industry for years. Lightweight and efficient.

That being said, ChaiScript and Falcon are good candidates matching your needs and with higher level language than Lua but with less history and community support.

Lua is a very good match for your needs. I'll take them in the same order.

Lua is one of the fastest scripting languages. It's fast to compile and fast to run.

Lua compiles on any platform with an ANSI C compiler, which afaik includes all gaming platforms.

Lua can be pre-compiled, but as a very dynamic languages most errors are only detectable at runtime. Also precompiled code (as bytecode) is often larger in terms of size than source code.

There are many Lua/C++ binding tools.

It doesn't support multi-threading (you cannot access a single instance of the interpreter from multiple threads), but you can have several instances of the interpreter, one per thread, or even one per game object.