I'm creating a game in XNA and was thinking of creating my own scripting language (extremely simple mind you). I know there's better ways to go about this (and that I'm reinventing the wheel), but I want the learning experience more than to be productive and fast.

When confronted with code at run time, from what I understand, the usual approach is to parse into a machine code or byte code or something else that is actually executable and then execute that, right? But, for instance, when Chrome first came out they said their JavaScript engine was fast because it compiles the JavaScript into machine code. This implies other engines weren't compiling into machine code.

I'd prefer not compiling to a lower language, so are there any known modern techniques for parsing and executing code without compiling to low level? Perhaps something like parsing the code into some sort of tree, branching through the tree, and comparing each symbol and calling some function that handles that symbol? (Wild guessing and stabbing in the dark)