It's worth noting to joelg236 that you can easily drop C into your Go program using CGO (http://golang.org/cmd/cgo/) for parts that need to be extremely performant. You incur a context switch overhead but it can really boost performance in some use cases.
While I wouldn't use Go to make a game because of lack of good libraries/frameworks, performance is fine for less-demanding games (2d, stuff, minecraft, etc)