R has a number of existing Kalman filter packages which are all very noteworthy in their own right. A comparison was provided by this JSS paper from 2011.
Yet I had a need for something both simple and fast at the C++ level.
The EKF/UKF toolbox for Matlab proved to be a wonderful source of excellent code that was well documented (see [this 130 page pdf manual]http://becs.aalto.fi/en/research/bayes/ekfukf/documentation.pdf()), under a suitable license and covering both simple examples as well as promising extensions.
produces this chart
which reproduces Figures 3.1 and 3.2 from the third chapter (on nonlinear state-space estimation) of the UKF/EKF manual.
The package is hosted in this GitHub repository and as of this writing not yet on CRAN.
GPL (>= 2) just like R, Rcpp, RcppArmadillo and EKF/UKF.
The package is still pretty young and incomplete.