So like the others say, no, you can't have #include statements inside a macro, since the preprocessor only does one pass. However, you can make the preprocessor do basically the same thing with a gnarly trick I found myself using recently.
Realise that preprocessor directives won't do anything inside a macro, however they WILL do something in a file. So, you can stick a block of code you want to mutate into a file, thinking of it like a macro definition (with pieces that can be altered by other macros), and then #include this pseudo-macro file in various places (make sure it has no include guards!). It doesn't behave exactly like a macro would, but it can achieve some pretty macro-like results, since #include basically just dumps the contents of one file into another.
For example, consider including lots of similarly named headers that come in groups. It is tedious to write them all out, or perhaps even they are auto-generated. You can partially automate their inclusion by doing something like this:
Helper macros header:
/* tools.hpp */
#ifndef __TOOLS_HPP__
#def __TOOLS_HPP__
// Macro for adding quotes
#define STRINGIFY(X) STRINGIFY2(X)
#define STRINGIFY2(X) #X
// Macros for concatenating tokens
#define CAT(X,Y) CAT2(X,Y)
#define CAT2(X,Y) X##Y
#define CAT_2 CAT
#define CAT_3(X,Y,Z) CAT(X,CAT(Y,Z))
#define CAT_4(A,X,Y,Z) CAT(A,CAT_3(X,Y,Z))
// etc...
#endif
Pseudo-macro file
/* pseudomacro.hpp */
#include "tools.hpp"
// NO INCLUDE GUARD ON PURPOSE
// Note especially FOO, which we can #define before #include-ing this file,
// in order to alter which files it will in turn #include.
// FOO fulfils the role of "parameter" in this pseudo-macro.
#define INCLUDE_FILE(HEAD,TAIL) STRINGIFY( CAT_3(HEAD,FOO,TAIL) )
#include INCLUDE_FILE(head1,tail1.hpp) // expands to #head1FOOtail1.hpp
#include INCLUDE_FILE(head2,tail2.hpp)
#include INCLUDE_FILE(head3,tail3.hpp)
#include INCLUDE_FILE(head4,tail4.hpp)
// etc..
#undef INCLUDE_FILE
Source file
/* mainfile.cpp */
// Here we automate the including of groups of similarly named files
#define FOO _groupA_
#include "pseudomacro.hpp"
// "expands" to:
// #include "head1_groupA_tail1.hpp"
// #include "head2_groupA_tail2.hpp"
// #include "head3_groupA_tail3.hpp"
// #include "head4_groupA_tail4.hpp"
#undef FOO
#define FOO _groupB_
#include "pseudomacro.hpp"
// "expands" to:
// #include "head1_groupB_tail1.hpp"
// #include "head2_groupB_tail2.hpp"
// #include "head3_groupB_tail3.hpp"
// #include "head4_groupB_tail4.hpp"
#undef FOO
#define FOO _groupC_
#include "pseudomacro.hpp"
#undef FOO
// etc.
These includes could even be in the middle of codes blocks you want to repeat (with FOO altered), as the answer by Bing Jian requests: macro definition containing #include directive
I haven't used this trick extensively, but it gets my job done. It can obviously be extended to have as many "parameters" as needed, and you can run whatever preprocessor commands you like in there, plus generate actual code. You just can't use the stuff it creates as the input into another macro, like you can with normal macros, since you can't stick the include inside a macro. But it can go inside another pseudo-macro :).
Others might have some comments on other limitations, and what could go wrong :).
