The new Datadog Agent is written in Go, with Python used for checks. This is possible because the Datadog Agent embeds a CPython interpreter that can be called whenever it needs to execute Python code. Embedding Python in a Go application has several benefits, such as gradually moving portions of an existing Python project to a new language without losing any functionality during the process and reusing existing Python software or libraries without re-implementing them in the new language. The Global Interpreter Lock (GIL) poses a challenge when it comes to embedding Python, but solutions like explicitly invoking the GIL and using the LockOSThread function from the runtime package can help manage this issue.