Quote from PhanxThere are hundreds of examples. Many addons create frames and widgets entirely in Lua. You can find a reference here:
and if you give a more specific example of what you're looking to create, I can probably give you the names of some addons that do something similar.
I like to do my editing in-game, in the WoWLua editor. However, some of the things I would otherwise make require a frame and I can't execute XML in-game.
So, lets say I just want a frame with a button, that, when clicked outputs "Hello World!" to the default chat frame. I couldn't find a way to create a button without using any XML, any suggestions?