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first class variables.

>*** Why didn't the designers of Scheme include locations (~anonymous variables)
>as first-class values in the language? ***
>Wouldn't that fit the Scheme philosophy of orthogonality and 'first-class
>everything'? After all, locations are part of the denotational semantics of
>Scheme, so this wouldn't be much of an extension to Scheme from an abstract
>point of view.

Such an idea was explored by J.C. Reynolds in a language called GEDANKEN.
GEDANKEN had functions, labels (continuations), and references (locations)
as first class values. Furthermore, this domain of values is also storable
in locations. A formal denotational semantics of GEDANKEN was given by 
R.D. Tennent. 

For anyone interested in following up this stuff the references are given

1. Reynolds, J.C., [1970], GEDANKEN - a simple typless language based on
   the principle of completeness and reference concept.,  Communications
   of the ACM (13, 5) May 1970.

2. Tennent, R.D., [1976], The Denotational semantics of Programming Languages,
   Communications of the ACM, (19,8), August 1976.

disclaimer: of course, my opinions belong to me.